Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.

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0
votes
2answers
51 views

Importing daily data: '-1' in volume column

I am working on importing some daily data from a public data source as csv format. The csv convention of the file seems to be that if data is not available for a field, a single white space is used ...
3
votes
1answer
481 views

mortgage prepayment model

I am trying to develop my own MBS prepayment model. I am confused by the terms SMM and CPR. Are they estimates/models in themselves or are they ACTUAL data for the MBS pool. where can I find actual ...
0
votes
0answers
82 views

residential mortgage prepayment modelling

I'm trying to develop a model for predicting prepayments, after reading several arcticles about it over the net. the model should use market data and be behavioral model (i.e. regression/survival ...
2
votes
1answer
445 views

Empirical copula

I am trying to find the empirical copula linking two random variables $X$ and $Y$. I have some data available but it's limited with respect to the variable $Y$ and I am not convinced it's enough data ...
-1
votes
1answer
117 views

Where can I find data source for structural models?

I am starting a project to implement the Black-Merton-Scholes model from this book in R. However, I am looking for, ideally free, data sources. Still I have access to a Bloomberg terminal. Can you ...
0
votes
1answer
49 views

Handling upcoming corporate actions for equity portfolio

I have an equity statarb strategy developed using CRSP daily data. The strategy is always invested (long or short) in around 400 stocks. The ...
1
vote
0answers
19 views

Sample data of quarterly (annualized) real GDP growth

I am looking for a database that provides me the quarterly (annualized) real GDP growth (quarter t and t-1) of US, Germany and England. For the US data i went here: ...
0
votes
0answers
64 views

Interest rate models

I'm studying by myself how to model interest rates. Is there any database in which I can find accurate data for indices like Libor, Euribor, Eonia etc?
0
votes
2answers
49 views

Definitive way of figuring out companies with multiple classes of stocks

Is there a definitive way of mapping tickers to companies for companies with multiple listed tickers? For example, GOOG and GOOGL are both Google (or now Alphabet), or BRK.A and BRK.B are both ...
2
votes
1answer
128 views

Online database of ETF & Mutual Fund Fees?

Is there any online data source of ETF and/or mutual fund fees? Free or paid is fine, although hopefully there's something out there cheaper than Bloomberg
2
votes
0answers
45 views

Exactly what data is available in XBRL, and how far back does it go?

What data is available from the SEC in XBRL format? Is it just 10-Qs and 10-Ks, or other filings as well? When did XBRL become mandatory for all filers (or is it still not?)
1
vote
0answers
36 views

What are the best sources for fundamental financial data? (not yahoo or google, neiter SEC counts as good) [duplicate]

I'm looking for a source for fundamental financial data, where I can download financial statements into excel. The source should provide the exact figures shown in the annual reports (not ...
0
votes
0answers
41 views

How to use Chow Lin method?

Can someone give me a simple explanation of how exactly this method works. If I have a dataset of say 10 quarters (dependent variable); how should the independent variable (say monthly data) be ...
16
votes
3answers
6k views

data on historical stock price of bankrupt companies

does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers? it appears that bankrupt companies no longer appear in the ...
5
votes
2answers
153 views

Where do quants get historical FOMC meetings events for backtesting?

Is there any usual/best practice to fetch historical fomc meetings events online?
0
votes
0answers
21 views

how to get the current price of a stock in quandl [duplicate]

Is there any way to find the current price of a stock as it fluctuates during the trading day. If so where can I find out how to get real time data of a stock or commodity. Thank you for your help!
0
votes
0answers
23 views

free and reliable stock ticker API [duplicate]

I am looking for an API that will give me (somewhat real time) stock quotes for free for a website. I have heard about using yahoo finance URL download but (to the best of my knowledge) yahoo could ...
1
vote
1answer
419 views

Calculate and plot historical volatility with Python

I have downloaded historical data for FTSE from 1984 to now. What I would like to do is to graph volatility as a function of time. What I have written is: ...
1
vote
1answer
146 views

Original Fundamental Accounting Data (Not Ratios)

Where do I get original fundamental accounting data from income statement, balance sheet and cash flow statement, like Sales/Revenue, Gross Income, EBIT, Operating Income, Cash & Short Term ...
0
votes
2answers
89 views

Ledoit-Wolf Shrinkage estimator not giving positive definite covariance matrix

I used ten year daily data for 407 stocks and computed the daily and monthly covariance matrices. Since I have more variables than observations for the monthly matrix, I wasn't surprised to find the ...
1
vote
0answers
26 views

Historical UK Gilt 2-year and 5-year data

Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
23
votes
5answers
12k views

Usage of NoSQL storage in Finance

I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data. I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ...
0
votes
0answers
34 views

Mutual Fund Cash Level Data

I look for a source to download historical monthly mutual fund cash level data from. Is there any free/cheap source available?
1
vote
1answer
55 views

what are database for downloading Spatial Data?

I am trying to find a good database for Spatial Data. What are the examples of this kind of data? IS it always related to geography? Any Spatial data related to finance, economics and statistics? ...
0
votes
0answers
15 views

how to get free data tin future (3M, 15M) and stock tin monthly since 1990-2015? [duplicate]

please help me. I need information how to get free data tin future (3M, 15M) and stock tin monthly since 1990-2015. thank you for your help best regards Adis Imam M
15
votes
14answers
10k views

Is “eoddata” a good data source?

Not sure if this is a relevant question for site, but I am looking to move to www.eoddata.com as my data source. If anyone has used it, can you tell me how the data quality is ? I am currently ...
3
votes
2answers
219 views

How to get Stock Fundamental time series data?

I need key Stock Fundamentals like in http://finance.yahoo.com/q/ks?s=KO+Key+Statistics But that page shows only the last quarter data, I need to analyze how that data has changed over past years. ...
-3
votes
1answer
54 views

Long-Term Government Bond Yields

On the Federal Reserve of St. Louis FRED website we can find the 10-year government bond yields: https://research.stlouisfed.org/fred2/data/IRLTLT01USM156N.txt. I chose monthly frequency and percent ...
0
votes
4answers
98 views

How can one get broker order data?

Is there any chance to get order data from any broker with a label from which account it came from? The accounts can be anonymized, i just need to identify an account's orders sent. Any help will ...
20
votes
8answers
7k views

Training set of tick-by-tick data?

I'm looking to find a free source of tick by tick data (<1sec) for training purposes. It doesn't need to be longer than a day, and I don't care what instrument, or exchange, or time it is. I just ...
2
votes
1answer
126 views

Acquiring large sets of price series

Selling and delivering real-time data seems to be the focus of practically all large data vendors, but I am more interested in acquiring large sets of historical daily data covering, say, 5.000 ...
1
vote
0answers
72 views

ISM PMI data - sector trend through ranking and seasonal decomposition

I have monthly data for each of the 18 sectors in the ISM PMI. Each datapoint shows the trend of a sector: growing, contracting or neutral. It also tells the strength of that trend with a number: ...
0
votes
0answers
15 views

daily feed for ETP delistings, redemptions and listings

I am looking for a feed or website that will post new exchange traded products(ETF, ETN, ETC exc..) launches, liquidation, redemptions or any other related events. I found one at etf.com however it ...
0
votes
1answer
80 views
6
votes
5answers
918 views

Free data on swap options

I am trying to analyze valuation methods for swaptions. Does anyone know of free example data for these OTC-traded securities?
3
votes
2answers
2k views

Historical Data on $/yen forward exchange rates

Would anyone happen to know where I can find historical forward exchange rate data between the yen and dollar?
9
votes
1answer
4k views

Why use a column database for tick/bar data?

I often hear that column-oriented databases are the best choice method for storing time series data in finance applications. Especially by people selling expensive column-oriented databases. Yet, at ...
0
votes
1answer
43 views

Calculating or finding info about the value of a market? for example Cloud Storage [closed]

I am assembling a pitch which will aim towards investors by the end of this year/beginning of next year, and I need to gather information such as how much the Cloud Storage market is worth and how ...
1
vote
1answer
218 views

How to pull stock exchange names for a list of tickers, bloomberg?

How to pull stock exchange names for a list of stocks with tickers, on bloomberg? Please advise the steps so as to paste the list of tickers without having to type tickers one by one.
1
vote
1answer
395 views

Where can I find US public company bankruptcy data

I am doing a thesis about firm survival in time of crisis (2008-2009) and I would like to know where can I find publicly available database about company bankruptcy. Since I have thousands of ...
2
votes
2answers
177 views

Transforming Variables in Regression

I have a very simple problem that hopefully someone could help me with or at least point me in the right direction. I am testing to see which factors affect index returns the most and would like to ...
4
votes
3answers
819 views

Where to find historical stock news and other events?

So, I am working on a strategy that has pin-pointed some very interesting events in the form of extremely low volatility. The phenomena spans the past few years and a wide variety of symbols. Now, to ...
1
vote
1answer
284 views

Market data for options

Looking for recommendations on places to get market data for options. I'm looking at NYSE and NASDAQ only. My current solution is my broker, Tradeking. I can request realtime data for 700 option ...
1
vote
2answers
303 views

Is it statistically valid to ignore “irrelevant” stock prices during backtesting?

As an amateur trader, I have reasonable success with my current end-of-day trading systems. All my systems are based on at least ONE year of "in-sample" data for backtesting, followed by 6-months of ...
0
votes
0answers
54 views

Where do I find a good data model for CDS

Tasked with implementing software that deals with CDS's what is the best place to get the data fields required to properly represent one. Found the definition in FBML but seems somewhat excessive: ...
4
votes
1answer
165 views

Opensource marketdata reference data for retail market

I'm not sure if this is the correct place to post this - but here goes: I have been working on a project for the last few years, during which I have come up with a set of components with the ...
2
votes
0answers
45 views

Time between end of use of ticker symbol by one company and beginning of use by another?

I have a CRSP stock dataset that goes up to december 2013. I'm trying to append yahoo finance data to it in order to bring it up to the current day. However, there are ticker symbols that once ...
-2
votes
1answer
69 views

Finding historical data monthly data [duplicate]

Where can I find historical data for WTI Price, gold price, CRB index for my research work? Is there any website from where I can download these data?
4
votes
5answers
450 views

CAC40 components historical data

I'm looking for historical data of the CAC40 components. I looked at these previously asked questions: What data sources are available online? Finding historical data for indices as well as Yahoo ...
1
vote
2answers
169 views

How do I find the entity identifier using BSYM?

I am new to BSYM and would like to do an entity-level search (as described here (towards bottom of document). For instance, a search for "APPLE INC" brings up 266 pages. Which one is for the entity? ...