**3. Data Description**

All experiments in this study have been carried out based on a tick-by-tick price dataset (tick data are the highest resolution intraday data and consist of the sequence of each executed trade or bid/ask quote aggregated from an exchange) that was collected from the hitBTC exchange (a platform for digital asset and currency exchange to quickly and securely trade cryptocurrencies—website address: https://hitbtc.com/) from 13 February 2019 to 6 April 2021. The dataset comprises 34 cryptocurrencies with a hybrid of high and low rankings. Specifically, the highest rank is 1 (Bitcoin) while the lowest rank is 260 (FunToken), according to the price-checking website *Coinmarketcap* (https://coinmarketcap. com, accessed on 4 August 2022) in April 2021; full list in Table 1.


**Table 1.** A list of 34 cryptocurrencies used in this study. Abbreviations are put in parentheses.
