Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.
4
votes
2answers
3k views
Are public historical time series available for ratings of sovereign debt?
The nice list of free online data sources Data sources online does not mention any data from ratings agencies.
Are historical time series available for sovereign credit ratings (other than as ...
4
votes
2answers
666 views
Mass Market Data Source
My current project requires large amounts of historical and real-time market data (1m or 5m bars for various products, mostly US futures for as far back as available). This data will be analyzed by ...
4
votes
0answers
98 views
single channel for multiple feeds of news? [closed]
I subscribe to various blogs and twitter feeds which I use to parse for keywords. Many times these subscriptions do not include topics which are of the primary concern.
Are there multiplex channels ...
4
votes
1answer
763 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 ...
3
votes
3answers
242 views
How do you handle Calendars in a .NET quant system?
I have developed an analytic platform in .NET, but I now have to tackle the problem of data cleaning which first starts by finding holes in time series, before actually looking to find inconsistent ...
3
votes
3answers
1k views
Monthly data for popular indices (constituents).
Trying to be concise:
I am interested in the most popular indices (SP500, FTSE100, DAX30, CAC40, SMI30, etc).
For each index I want to know its constituents in a monthly basis.
For each constituent ...
3
votes
2answers
577 views
Tick data collection
I am new to this. I am confused on what consists of a tick data.
I have a trading platform in which I could collect data of exchange traded product like futures and stocks. While I am intending to ...
3
votes
2answers
200 views
Which indices to use for an equity vs. fixed-income portfolio simulation?
I want to backtest several basic optimization methods (e.g. MVO, "most-diversified portfolio"), and I want to do this on a basket of different asset indexes. To start with, I want to simulate a 60/40 ...
3
votes
1answer
159 views
time in time series database - UTC or local
I strictly store UTC time stamps inside time series files or databases, mainly to allow processing several time series together. Timezone information is kept with each time series file or item, so ...
3
votes
1answer
200 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 ...
3
votes
3answers
383 views
Generate tick data from candlestick
Is there software (or Python / R / ... scripts) to generate (pseudo) tick data from candlestick data.
I have candlestick data (CSV format) from monthly timeframe (MN) to minute timeframe (M1) but ...
3
votes
1answer
145 views
Where can I get historical ticker change database?
There's 30 days worth of data at http://www.otcmarkets.com/marketActivity/symbol-changes - but I'm really looking for the past 10 years, or 5 years if only that is possible. Any dice?
The closest ...
3
votes
1answer
771 views
How do I backtest a convertible bond arbitrage strategy in R/Matlab?
Since no one was able to answer my previous question, I am going to try to backtest a modern convertible bond arbitrage strategy myself (perhaps I'll report the results back here, if you're lucky :)). ...
3
votes
1answer
59 views
What is lagged interest rate?
I am trying to reproduce a plot in "Statistics and Data engineering for Financial Engineering" by D. Ruppert. The author uses the risk free returns data available in the Ecdat package in R. ...
3
votes
1answer
226 views
Should I use SSAS to store Tick and bar data?
I have been looking for a low cost solution to effectively store and query tick and bar data.
Databases like kdb+ and Streambase are too expensive for me.
Building a custom solution with SSAS (Sql ...
2
votes
2answers
109 views
How to synchronize put and call option-data?
I recently retrieved a large amount of European option data, for call and put prices, from OptionMetrics. Doing so for the same time period I get a file consisting of
62558 rows of call prices & ...
2
votes
1answer
140 views
Get intraday data of SAP with google Finance
According to this link I try to get intraday data of SAP listed at Xetra.
Intraday data with timestep of 1 second would be great. I do not understand parts of the command, I try
...
2
votes
1answer
101 views
Historical data on short rates
I would like to backtest a short-equity strategy. I'm looking for historical data on the availability of shares and cost to short certain stocks. Does anyone know of such data being available ...
2
votes
0answers
103 views
What are the proper metrics to look at for checking discrepancies in these two time series
I am obtaining bid/ask price and volume market data from two different sources for the same ticker and for the same day and checking to see that at time intervals X they are "roughly the same". The ...
2
votes
0answers
160 views
Can a higher P/E ratio be beneficial under certain circumstances? [closed]
I am new to investing. I understand that the P/E ratio along with other data can be used to determine whether a stock may or may not be undervalued.
Are there situations where a HIGH P/E is actually ...
2
votes
0answers
188 views
What is a good site to download historical stock 'events' such as earnings releases? [duplicate]
Possible Duplicate:
What data sources are available online?
Earnings and valuation data sources online
I'd like to backtest some strategies involving earnings release surprises, as well ...
1
vote
2answers
196 views
Data feed API that uses REST?
Is there a data feed provider that has a REST (http) API?
Preferably real-time and historical, at least for US equities.
1
vote
1answer
562 views
Data source for historical Share Outstanding totals for individual stocks?
Data is normally adjusted for splits/reverse splits, etc. The current shares outstanding is usually available. Is there a data repository that captures the shares outstanding for any point in the ...
1
vote
1answer
117 views
Brent Crude Data
I am trying to locate historical volatility data (5+ years) for Brent Crude? Does anyone know where I might be able to source such data?
1
vote
1answer
215 views
Normalized data
I am new to this. I trained and tested my data using SVM in Matlab with the autoscale option true => the data would be normalized with unit SD. Let's say the training data have the price around 200.
...
1
vote
2answers
263 views
How to detect and adjust for stock splits?
I am using a large daily data panel for over 250 companies and over several years. I am concerned about adjusting for stock splits. Is there any program in SAS to detect stock splits? How do I adjust ...
1
vote
1answer
82 views
Generating Return Streams for stress testing
There is never enough market data for testing. And sampling from user defined distribution is a hotly debated subject as which distribution does the market really go with?
There are many ways to ...
1
vote
1answer
63 views
BSYM for historical tickers
When looking through Bloomberg's BSYM data ADR and Common Stock data (5/2/13), I was able to find the ticker symbol 'V' associated with Visa but was unable to find any record for Vivendi, which I ...
1
vote
0answers
149 views
Data feed that shows individual orders
Does anyone know how I can obtain time and sales data for a stock?
Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume.
I ...
1
vote
0answers
612 views
Historical S&P 500 Stock Weights [closed]
I'm looking for histocial weights of S&P 500 constituents. I have access to a Bloomberg terminal. Any thoughts on how/where I might calculate/find these data?
P.S. I'm looking for as much data as ...
1
vote
0answers
543 views
Hobbyist Quants [closed]
I'm interested in investing some money in the stock market, and I have the math background that will make following the math used in quantitative finance possible (with some work). What are the ...
0
votes
0answers
28 views
Where do “Forex economic calendars” get their data?
Where do all these "Forex economic calendars" get their data from?
http://www.fxstreet.com/fundamental/economic-calendar/
http://www.forexfactory.com/calendar.php
http://www.dailyfx.com/calendar
...
0
votes
0answers
91 views
Data sources for financials of global equities
I looked through the master list of data sources but could not find any data sources for financial data of global equities. An example would be the balance sheet of, say, ...
0
votes
0answers
40 views
Need historical option data for my final graduation project [duplicate]
I am a student doing my final graduation project on uncertainty quantification applied to option pricing.To validate my work I need historical european option data.So I wonder if there is someone here ...
0
votes
1answer
218 views
Where can I put some Bloomberg API C# tools online? [closed]
I have some tools I wrote in C# for handling Bloomberg API requests and responses and I think they would be useful to other programmers. Where is a good place to put useful code online?
Google ...
0
votes
1answer
152 views
Collecting Data such as the relationship data from http://investing.businessweek.com [closed]
This question may barely meet criteria for Quantitative Finance. Lets hope I got it right.
I am amazed by how much "people data" http://investing.businessweek.com has, such as age, annual ...
-1
votes
1answer
338 views
Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
What constitutes "stealing" when it comes to publicly posted financial data?
I think there are three instances of this that we can individually vet:
a.) you physically broke into a location or ...
-2
votes
2answers
587 views
Market Data For Project
I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been ...
-2
votes
1answer
351 views
Way to download current stock information (for free)? [duplicate]
Possible Duplicate:
What data sources are available online?
Is there a free way to download the current prices (and possibly other data) for stocks for various companies?
Context: This is ...
-3
votes
2answers
158 views
Re-resolving OHCLV stock Data [closed]
Whats the most efficient way to re-resolve stock data? I have 10m data in a database that I am using for 3-5day trading purposes (e.g a 5 day chart). Now for a 1 month chart, I am multiplying 10 by 4 ...
-4
votes
0answers
36 views
Best way to test the filter rule for buy and sell signals [closed]
I am a masters student, and for my thesis I am examining the opportunity for profit using technical trading rules in the stock market. I am concentrating on the filter rule which says "A stock should ...
-4
votes
2answers
487 views
Automate fetching of a stock's sector & industry [closed]
Does anyone know an automated way to get a stock's sectory and industry using Yahoo Apis. I know Yahoo! stores this information, I would like to retrieve it programatically.
Thanks
Why would you ...
