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19 views

Estimating VaR (Value At Risk) with only 3 days of data

I've been given daily stock prices on Day 1, 2 and 3 for 10 stocks (hence 30 data numbers in total) and asked to approximately the 1-day 95% VaR (Value at Risk) on Day 3. I'm not allowed to use any ...
1
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0answers
12 views

what is the market return for malaysia [on hold]

i need the monthly or daily market return for Malaysia any one can help??.. and i was think that market return its the same as risk free return can someone say for me the difference? and i work on ...
3
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0answers
35 views

CBOE Index Minute Data

I am doing a small research and looking for a place to purchase historical minute CBOE Index data. I am interested in: VIX - CBOE Volatility Index VVIX - CBOE VIX VOLATILITY INDEX VXV - CBOE VIX ...
1
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0answers
27 views

Data collection [duplicate]

I am looking for historical data (hopefully from 1995-2016, otherwise as much as available during that time frame) on a number of variables for 8 different stock market indexes. The indexes are ...
1
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1answer
36 views

hello, anyone know how can i get historical book to market ratio? [closed]

am working on Malaysian stocks i have just 25 days to present my thesis to the university and i don't know how to get my data i need book to market monthly ratio from 2000 to 2015
2
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1answer
41 views

Time series of European sovereign credit ratings by the Big Three?

I would need time series, from 2000 to 2015 (if possible) of sovereign credit ratings by Moody's, S&P and Fitch. Could you suggest me a source or provide me such a dataset? Thank you very much!
0
votes
1answer
32 views

Financial statement and stock market data [duplicate]

How is it possible to have access to Datastream, Bloomberg, Wrds database? Is there another free database with long historical data? In fact, I need long time series data belonging to NYSE and NASADAQ ...
1
vote
1answer
30 views

Why NYSE is not included in TAQ data for NASDAQ listed companies?

I am using TAQ data to see from which exchanges bids (or asks) are coming. I have got this for AAPL (Apple company, listed in NASDAQ) for a sample day: ...
0
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1answer
51 views

Which close price should we use for machine learning?

I am building a machine learning model using historical prices and I am using data from yahoo finance. Currently yahoo finance data have two close prices one normal close price(close) and other ...
0
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0answers
21 views

Where can I find CMS swap trading prices?

I am writing a paper about CMS swap. To do so, I'd like to compare different theoretical pricing methods of these instruments to the "real prices" i.e. prices used in the marketplace. But I don't ...
3
votes
2answers
148 views

How to get historical fundamental data in Bloomberg suitable for backtesting?

I'm trying to retrieve historical stocks fundamental data from Bloomberg to backtest some quant ideas. I'm having trouble to find the correct point in time the data was available. For instance, the ...
0
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0answers
25 views

Comparison of quality across different fundamentals data sources?

There are a variety of different mechanisms and rules used by each fundamentals data provider to standardize and report company fundamentals. For example, the transformation of reported statements to ...
1
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2answers
69 views

what data sources are useful for obtaining financial statement data of listed companies NYSE and NASDAQ?

Exactly, I need balance sheet, income statement, cash flow statement, stock market, bankruptcy situation, fraud situation and corporate governance data of companies in USA. Thanks beforehand,
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1answer
34 views

Monthly market value data of indices: where to get?

I am currently working on a paper related to portfolio optimization. As of this moment, I am considering to use a dataset consisting of the following indices: MSCI World MSCI Emerging Markets SP ...
2
votes
2answers
117 views

Yahoo finance: download adjusted close prices of different stocks in one file

I am trying to download adjusted close prices of different stocks from yahoo finance. I used "Download to Spreadsheet" to download historical prices for each stock and then join these files into one. ...
3
votes
1answer
50 views

Where to find Investment home bias data & Historical country weight in World MSCI

I need the following data and struggles to find it, maybe some of you can help me. Note: I'm a student and in our university ain't Bloomberg nor Reuters. Investment home bias, e.g in 2012 US ...
4
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1answer
84 views

How do you model yield curves for interest rates that have hardly moved?

I have a model which I use to simulate future yield curves. The model uses some standard concepts, like PCA and ARMA models, and it creates some nice-looking yield curves. The simulated curves are ...
0
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0answers
10 views

Video Metadata Backtest

If you were to Backtest data extracted from video feeds, let's say for commodities. How many years/hours of video would you desire? The video repository is currently harvested going back 5 years and ...
2
votes
1answer
137 views

netfonds.no - High Frequency Data

I originally got the idea from Python for Finance. But there are nomerous other examples on how to get high Netfonds (here and here). They don't seem to work any more: http://hopey.netfonds.no/...
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0answers
27 views

Feedback on Video Metadata Extraction

I've developed/patented a metadata extraction methodology, which we've used to build a variety of alternative datasets for funds. One of the more difficult issues in this field, is getting useful ...
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0answers
24 views

Video Analysis Platform

I own a data analysis company which is currently bulk extracting metadata from historical market video and audio files, and creating alternative/historical datasets around commodities, S&P 500 ...
4
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0answers
52 views

Where can I get two to four years worth of historic data news for companies included in DJ and S&P?

Where can I get two to four years worth of historic data news for companies included in DJ and S&P? I mean not just prices historic data but also news. Preferably for free and in CSV or any ...
1
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0answers
26 views

Finding metal price data from LME

Does anyone know any sites that allows you to download free historical monthly metal (copper and aluminium) price data, the best would be LME data. I need historical spot prices, inventory, ...
1
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1answer
106 views

CDS spread scenarios from historical market data

I'm searching for information on the best way to generate scenarios to be used in VaR or ES calculations, for CDS spreads. Given that we need significant historical data in order to achieve a decent ...
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3answers
196 views

Where can I find best end of day option data? [duplicate]

Looking for accurate end of day option data. Preferably with Greeks. Any recommendations?
0
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2answers
51 views

Where can I find free single-day charts for the S&P 500?

I'm trying to find free historical charts of the S&P 500. I don't need the raw data, I just need to access a simple chart showing the movement of the index over the course of the day (for an ...
3
votes
1answer
82 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 ...
2
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2answers
201 views

Free high resolution financial data

As thebonnotgang(1) stopped updating their database, I was wondering if there are some other free sources of high-frequency data available. I found a proper tick data api (ca. 25 day history) hosted ...
1
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1answer
56 views

Historical volatility from non-uniform samples

The way I compute historical volatility is that I take two parameters $dt$ and $T$, get a list of stock prices with the step of $dt$ over the window $T$ (so $T/dt+1$ samples in total), compute $T/dt$ ...
4
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1answer
869 views

What happened to the French franc value in August 1969?

I stumbled onto a bit of a mystery. A strange financial blip in a historical database crossed my path and I was wondering if anyone could explain its meaning/cause for me? If this is not the right ...
2
votes
2answers
93 views

Where to get price data on Credit Default Swaps?

I trust market-driven CDS more than credit ratings. Where can one get the CDS of corporate bonds of major companies? Are there any good internet links? If charts on the historical end-of-day prices ...
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 ...
1
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0answers
43 views

Through the Cycle calibration of PD values

It is a known fact that default rates seem to exhibit cyclic behavior. Most probability of default models use one-year averages of default rates to calibrate the models. The one-year averages should ...
4
votes
2answers
337 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 ...
0
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0answers
20 views

Fixed Income Sec: development of UK bond markets relative to the stock market

I am asked to describe (school project in the course Fixed Income Securities) the development of the UK bond markets relative the UK stock market and I am not sure how to tackle it. I want to compare ...
2
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2answers
171 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 ...
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0answers
63 views

Real Time/Historical weather data

I am looking to incorporate weather data into my algorithmic models. What is a good source to find historical + real time weather data by zipcode or region? Any help will be appreciated! Preferably an ...
0
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3answers
203 views
2
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1answer
47 views

How to retrieve and format futures data for use in regression/time series models?

I need to form a predictive time series model for monthly Brent crude oil spot price. I am looking to form 1-12 month ahead forecast horizons. There is a bounty of previous literature which uses ...
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?
2
votes
2answers
84 views

Where can I find the most reliable historical fundamental data for US Equities

I've looked at several sources including Bloomberg, Zacks and Cap IQ. Many times, they don't update their data with the revisions. I'm looking for Income Statement and Balance Sheet data going back to ...
6
votes
2answers
90 views

How to find funds with long history to use in backtest?

Is there a way (website/code) to find funds/etfs for a given asset class and how much data history is available (yahoo finance or other) ? It could be as simple as a list of funds by asset class and ...
2
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0answers
45 views

Given (past) stock values for N assets, how to find the maximum - theoretical - profit?

In the past few days I have been thinking about a question which seems trivial, yet I can't think of any efficient way to find the optimal solution... Here is the problem: imagine you have a ...
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2answers
152 views

How to estimate probable seeling pricegiven OHLC data for backtesting?

I'm relative new to this, so I might be asking something that doesn't make sense. Here is my scenario: I have intraday day at 1 minute intervals. This data has ohlc data and I want to compute for any ...
3
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3answers
399 views

Sources of index data (MSCI, FTSE, S&P etc.)?

Who are the major suppliers of index data that cover multiple index providers, e.g. MSCI, FTSE, S&P etc? There are a huge number of people sourcing e.g. equity data, but index data is much harder ...
1
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0answers
27 views

Unexplained delimiters in Nasdaq ITCH file

I'm working on writing an order book constructor for Nasdaq ITCH v5 files, and I'm noticing some occasional message identifies/ delimiters that are not included in the ITCH5 specification, ...
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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
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0answers
19 views

Strange / Incorrect / Unusual Data on Google Finance 1988 [duplicate]

Looking at XOM (but it is the same for many stocks) there is an odd drop in the stock price during 1988. It drops around the new year and pops back up around the next new year. This drop is present ...
0
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0answers
35 views

Where can I find historical P/E values of Russell 2000 Value and Russell 2000 Growth index?

I have no problems finding the current values, but historical (ie yearly) is harder and even my commercial databases have failed. Only need the last ~15 years or so, and yearly is enough. Do any one ...
1
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1answer
165 views

Broker or source of intraday futures data for a python API?

I am looking for a broker that offers a python API for downloading historical intraday data on futures. So far I have only seen Interactive Brokers and Tradestation. Are there some other brokers ...