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

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1
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1answer
110 views

Historical book value data for S&P 500

In Graham's Intelligent Investor, he calculates a metric Earning/book value. I would like to calculate the same ratio in modern times (1960-2015) but am having trouble finding this data. I have found ...
1
vote
1answer
44 views

Bid and Ask Data for european stocks

I am working on something to analyze European stocks and I need some historical data on bid and ask prices. Ideally I would like something like CRSP database for US stocks. Is there some similar ...
3
votes
1answer
84 views

Sovereign Credit Rating

I am working on the determinants of sovereign credit rating. I am looking for the historical rating data-set for euro-zone ...
4
votes
2answers
331 views

Data exported from Capital IQ, FactSet, Bloomberg, Compustat

I'm looking for reliable data on US equity fundamentals, but not sure which vendor provides these features: Unlimited data export Coverage of disbanded entities (bankruptcies, M&A) Financial ...
5
votes
2answers
646 views

Why the difference between SPY and ^GSPC?

Look at SPY vs ^GSPC -- the difference seems bigger than can be explained by the ETF fees. Is it only because of SPY re-invests dividends quarterly or something else? Since ...
1
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0answers
40 views

Where can I find bonds time series?

I want to study dependence and correlation between bonds and CDS. I have already found a large CDS database of time series there: www.datagrapple.com I am looking for such a similar database (with an ...
0
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1answer
200 views

Transforming daily simple returns into weekly

I am trying to transform daily simple returns into weekly returns. I am using the following R code: ...
0
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0answers
34 views

BLS v2 API took 20+ minutes to publish data where is immediate data available?

First, I should state that I built a Java program that uses HTTP Components to keep in sync with server time for my broker. Once 7:29:59 comes around the program ...
3
votes
2answers
78 views

Finding Credit Risk Population Data

Are there any free or relatively cheap sources of aggregate data on credit risk for specific geographic regions, ages, and so on?
1
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0answers
74 views

Match different option high frequency databases

I downloaded the “E-mini S&P 500 (Dollar) Options for 1/10/11” Top-of-Book (BBO) data. If you are interested you may download the data from the following link (approx. 80MB zipped and 1GB unzipped)...
2
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0answers
63 views

Data source for a corporate bond yield curve?

Yield curves are a valuable tool for economic analysis. It is particularly interesting to analyse the difference between Government Debt yields and Corporate Debt yields (credit spreads). This gives ...
62
votes
13answers
12k views

Innovative ways of visualizing financial data

Finance is drowning in a deluge of data. Humans are not very good at comprehending large amounts of data. One way out may be visualization. Traditional ways of visualizing patterns, complexities and ...
0
votes
1answer
53 views

List of US Indices [duplicate]

I need to do symbology translations between two financial systems. One part of this is to identify a symbol that is an index in one system so that I can prepend a character to it when I send it to the ...
0
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0answers
59 views

UK company data from Datastream: FBRIT+DEAKUK versus WSCOPEUK?

I'm working on a paper investigates the existence of a profitability premium in the UK starting in 1970. (Novy-Marx, 2013) The core methodology is creating Fama and French portfolios, testing the ...
0
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2answers
52 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
496 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
87 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
451 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
119 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 ...
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: https://www.philadelphiafed.org/...
0
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0answers
67 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
52 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
131 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
1
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0answers
39 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 standardized)...
0
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0answers
43 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
156 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
547 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
160 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
107 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
28 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 ...
0
votes
0answers
35 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
57 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
243 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. ...
-2
votes
1answer
57 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
99 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 ...
21
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
132 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
80 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
1answer
87 views
6
votes
5answers
969 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?
10
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
232 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
463 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 ...