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

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2answers
291 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 ...
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3answers
177 views

How to pull an exhaustive list of securities traded globally, on bloomberg?

I need to extract an exhaustive list of securities with CUSIPs and ISINs on bloomberg. This data needs to be on a global level. Can someone help with the formulae on bloomberg please? Cheers, G
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3answers
820 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, ...
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2answers
899 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.
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1answer
81 views

Data on margin volumes?

I came across a Financial Times article today that said "Peaks in margin trading have been a precursor to bear runs in the past, notably in March 2000 and July 2007." I'm curious if anyone here would ...
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2answers
371 views

Bloomberg Alternative for Quant Fund

Is there an alternative to Bloomberg for someone who only needs historical data (stocks, futures, indices) as well as what Bloomberg calls 'reference data' - i.e. what is the multiplier of ESU4, what ...
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2answers
92 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. ...
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1answer
208 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 ...
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1answer
380 views

Python code to download historical firm data

I am looking for a Python code that scraps a website to download historical firm data such as market capitalization, dividend-yield, and so on. I have a code that downloads the current firm data from ...
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1answer
79 views

What is the distribution of stock splits?

I want to know how rare are splits more extreme than, say, 7:1 (and reverse splits similarly). An answer here points to announcements on Yahoo Finance, but apparently only monthly views. What is a ...
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1answer
136 views

Direct exchange data via a Vendor

I am considering the option between using direct exchange connections vs using a vendor like Bloomberg for market data. I am interested in daily data and potentially tick by tickdata. Initially I am ...
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2answers
2k views

where can i get data for foreign exchange order flow

I need data for my thesis research on liquidity of foriegn exchange for order flow (aggregated daily) per currency traded for a period over the last 10-15 years. help!!
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2answers
594 views

VIX intraday data

Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I ...
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1answer
135 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?
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1answer
250 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. ...
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1answer
137 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.
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1answer
163 views

SEC 13F Security List has incorrect CUSIP numbers?

I'm building database of 13F sec.gov forms with 13F security lists (http://www.sec.gov/divisions/investment/13flists.htm). Along with integrity checks. I implemented CUSIP digit check algorithm to ...
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1answer
145 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 ...
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1answer
87 views

Best sources for worldwide balance sheet data?

I’m interested in databases with quarterly balance sheet data of the financial sector. I’m aware of the following datasets: -Compustat -Compustat Global -Bankscope Can someone point out other ...
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2answers
643 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?
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1answer
127 views

Company rank within an industry

I'm looking at the list of companies in the S&P 500 Pure Value Index. For each firm, I want to obtain the dividend yield industry percentile rank and the PEG ratio industry percentile rank. I've ...
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1answer
440 views

Components of an index in a specific date

Objective: Get a list of all the companies that were ever part of an index (e.g.: FTSE100) in a given period of time (scale: years/decades). Method I have in mind: 1) Create an empty list k. 2) Get ...
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2answers
352 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 ...
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1answer
94 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 ...
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0answers
34 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: ...
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0answers
69 views

hopey.netfonds.no data missing?

A while ago I took a break from computational/quantitative finance. However, when I started again recently, the data feed I used for tick data was broken, http://hopey.netfonds.no/tradedump.php and ...
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0answers
52 views

Convertible bonds market data

My question is twofold. First, what are the key informations used to describe a convertible bond market ? I'm thinking about market size, conversion rate, appropriate index, ... Second, where to ...
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1answer
381 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 ...
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0answers
130 views

What is the algorithm for the Fama-Bliss instrument selection?

Fama-Bliss discount bonds are defined through a straight forward calculation (Famma, Bliss 1987). For the purposes of a project I need to derive forward rates, yields &c. for periods not included ...
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0answers
207 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 ...
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0answers
1k 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 ...
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1answer
35 views

FTSE AIM Components From 2000, 2001, … 2013

From where can I get a list of historical component lists for the FTSE AIM Index as well as other indices? I see that there is a page for data sources here, but that page does not contain what I am ...
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2answers
153 views

Sharpe Ratio and time spent in loss

Is it possible to express, given an annualized Sharpe Ratio value, what is an expected maximum/average time spent in a draw-down or something in this manner? E.g. with SR of 10, you'd expect to spend ...
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3answers
140 views

Where can I find a correlation matrix between the revenues of different industries?

I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in ...
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1answer
325 views

Where does CME store Security IDs for FIX messages?

Where does CME store Security IDs for FIX messages? I cannot find them anywhere? So given Security ID XX I can go and work out what product this actually is?
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1answer
53 views

Understanding Quandl Futures Data

I'm interested in learning how to adjust my own futures contracts for analysis. Unfortunately my quantitative classes didn't really go into this, and I would like to learn it on my own. The methods ...
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2answers
126 views

float64 to store price data: is precision sufficient?

I am looking to store equity price data in a hdf5 table. The use will be purely as a historical archive, not as day-to-day data source. Options One option would be to store base10 significand and ...
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1answer
53 views

Data on banks’ leverage

Does someone know free resources to estimate the leverage of the banking and financial sector at an aggregate level? In particular I would be interested in something like Federal Reserve’s Flow of ...
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1answer
106 views

Finding historical data for indices [duplicate]

Where can I find historical data for option prices on a given index ? Ideally I'd like to find for a period of several months 1) historical prices on options on a given index 2) historical prices on ...
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3answers
551 views

Databases for storing and querying high frequency tick-level data?

My firm is looking for an out-of-the-box database system to store and query high-frequency tick data. What are the best options? It seems that kdb+ is the market leader in this field.
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4answers
83 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 ...
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1answer
43 views

Difference between Tick data and NASDAQ ITCH VIEW [closed]

Could any one explain the difference
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2answers
96 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? ...
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1answer
55 views

biggest rally data collection

Where can I find data for biggest rally(price rally) in a day? If this sort of information is not readily available, how could I produce/transform such data?
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1answer
34 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 ...
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5answers
426 views

API-based equity screeners?

I know there are APIs from different brokers that allows you to trade and also obtain information about specific companies, but I wonder if there are equity/asset screeners that are API-based and can ...
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1answer
255 views

News on ETF sector performance

I am interested to find historical news (if any) associated with intraday volatility burst in a particular ETFs like ishares IYF (Financials). So say that between 12:00 - 12:10pm, the ETF IYF's stock ...
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1answer
287 views

Source of Quandl Open Data

I am interested in Quandl Open Data, from Quandl.com These data are also denoted as Wiki Data since it relies on users to flag errors. In particular on their website, they say: This new data ...
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1answer
132 views

Where can I find historical data for volatility estimation?

I'm trying to estimate volatility following Shreve book, so I need observations of $f(t_j,t_j+\tau_k)$ and $f(t_j+\delta,t_j+\tau_k)$, where $t_J<t_{J-1}<\dots<0$ and $\tau_k$ are relative ...
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1answer
259 views

adjusted close prices on SP500

When I look at the adjusted close prices of SP500, for example, I notice that the numbers are always significantly below the actual closing. In the explanation of what adjusted prices are, one gets ...