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

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2
votes
0answers
7 views

Where can I find ETF fund flow data?

I know mutual fund data can easily be found on CRSP or Thomson Reuters, but where can I find solid ETF data, specifically their flows?
170
votes
25answers
110k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
0
votes
0answers
27 views

White's reality check p-value

I am running a hypothesis test based on White's reality check p-value. I am getting a weird result for my univariate time series of returns. In essence, I am following a code on MATlab to run the test ...
3
votes
1answer
72 views

Information on Weather Derivatives

I am looking for relevant information on the organization of the Weather Derivatives market. How is it organized? How information is shared? Where can we find historical database? I am aware of the ...
0
votes
3answers
80 views

Where can I find best end of day option data?

Looking for accurate end of day option data. Preferably with Greeks. Any recommendations?
0
votes
0answers
17 views

Data on interest rate differentials (lending on own vs. foreign currency)

I'm looking for data on (inner country) interest rate differentials between lending in own and foreign currency. Is there any data publicly available? If yes, where? If not, which non-free sources are ...
2
votes
0answers
90 views

Equity Index Announcement Data

Does anyone know of a data source that provides announcements of future index events (adds/drops/re-balances), specifically for equity indexes? I know these are mostly available somewhere on each ...
1
vote
1answer
59 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 ...
4
votes
1answer
577 views

Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
2
votes
1answer
68 views

Vendor data aggregation for Options on Futres

Have anyone managed to automate data consolidation between Reuters and Bloomberg for Options on Futures? Are there any common attributes that these vendors share in this particular asset class that ...
0
votes
1answer
295 views

CME historical option data provider

Is there any other historical end-of-day CME option data provider rather then CME DataMine? I've searched all the internet and found only CBOE traded options.
1
vote
1answer
37 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 ...
2
votes
1answer
76 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 ...
3
votes
2answers
137 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
419 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
vote
0answers
33 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
votes
1answer
98 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
votes
0answers
29 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
77 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
vote
0answers
67 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 ...
2
votes
1answer
119 views

Source for real-time tick data (stock price, etc.) updated every second?

For educational purposes, I'm looking for a source for now's real-time tick data for stock prices, or FOREX, etc., with a 1 second precision. Is there such free data feed? If not, could such data be ...
2
votes
0answers
46 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 ...
59
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
52 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
votes
0answers
20 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
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
451 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
78 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
441 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
114 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
40 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
18 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
63 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
44 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
126 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
35 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
33 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
39 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 ...
15
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
150 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
20 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
21 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
261 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
78 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
74 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
24 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 ...
22
votes
5answers
11k 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
32 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
53 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