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2
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0answers
137 views

Downloading high-frequency data: S&P 500

can I ask you where am I doing something wrong when downloading high-frequency (5-min) S&P 500 data ("USA500.IDX") from https://www.dukascopy.com/swiss/english/marketwatch/historical/ and when ...
2
votes
0answers
39 views

How to Handle Error in SEC Filings

Sometimes I see obvious errors in the 10-K or 10-Q filings that appear to go uncorrected in subsequent filings for the same period. For example, on June 9, 2014 Apple, Inc. did a 7-to-1 stock split. ...
0
votes
2answers
183 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 ...
1
vote
1answer
37 views

Where can I get equivalent of 3 months libor or swap historical data?

Please note: I have already checked your standard "Historical data sources" link, but it does not have the data I need: I am looking for 5 years of libor/swap data for major currencies. Daily, or ...
0
votes
1answer
49 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?
-1
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2answers
76 views

Bid/Ask vs Low/High

I am trying to gather historical data for experimental reasons (intellectual curiosity) and am having trouble understanding how that data is calculated. First some data gathering on AAPL from Feb. ...
3
votes
1answer
124 views

Backtesting on historical option data

I have downloaded some daily historical option data for a timespan of 10 years and want to perform trading backtests with them. Data are European index options, on ODAX. My question is about realistic ...
0
votes
0answers
12 views

Historical data for Canadian exchanges and mutual funds

There are scores of posts on obtaining historical data for many of the big exchanges, but for some reason there is a gap in sourcing historical data for Canadian exchanges. Short of Yahoo Finance and ...
0
votes
1answer
62 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 ...
0
votes
1answer
65 views

Historical Data - Free Sources in 2015? [duplicate]

I've found some free sources for stock historical data but none that aren't broken links or give me quite what I need. I want... For NASDAQ, S&P 500, DJIA: Historical data for the past 5 years ...
1
vote
2answers
54 views

I have some historical options data, and there are duplicates of some options, how to filter them

I have some historical EOD options data for 2013, and there are duplicates listed for same strikes/expirations. I was told that by the provider that this is due to "special one-time cash payout" for ...
0
votes
1answer
77 views

VIX options historical data

I'm looking at these data: call and put options on VIX. I'm interested in daily quotes (all strikes and maturities) for - at least - 2009/10. Could you list link of possible sources? and possibily ...
2
votes
1answer
153 views

Aren't Technical Indicators calculated on Adjusted Close Price?

I would assume that day to day movement in stock can be accurately compared with the Adjusted Close Price and not simply the Close Price, taking into account Stock Splits Dividends etc. ...
4
votes
1answer
125 views

Historical Financial Statement to Backtest in R

I would like to preface this by saying I am preparing for an upcoming internship this summer so I am extremely new to Quant Finance. At my university we have access to Datastream by Thomson Reuters ...
0
votes
1answer
32 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 ...
2
votes
2answers
67 views

Where can end-of-day price volume data for Japanese stocks be downloaded or subscribed to?

Yahoo finance and google finance do not provide such data. Where can one download Japanese stock data?
2
votes
1answer
85 views

Yahoo YQL missing industry “Industrial Metals & Minerals”

When I issue the following query select * from yahoo.finance.industry where id="133" I get the following results ...
2
votes
1answer
53 views

Create 10-K Filing Database

I am finance grad student, and working to create a financial statement database. My objective is to download an income statement, balance sheet, and statement of cash flows for every publicly traded ...
2
votes
1answer
145 views

Bloomberg-alternatives for intraday stock price data?

Given the limitation Bloomberg imposes in terms of the number of days you can go into the past when retrieving historical intraday data, what are similarly reliable alternative solutions? I require ...
1
vote
2answers
866 views

How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
0
votes
2answers
99 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 ...
0
votes
3answers
133 views

Share Repurchase and Bid ask Spread data

I am doing a Quantitative Finance PhD and would like some insight on data collection. I'm looking for open market share repurchase data (UK) over the past 2-3 decades. Simultaneously, their bid-ask ...
0
votes
0answers
38 views

Where can I find an historical data source for Fixed Income instruments?

We would like to find a data source for fixed income instruments. The information we would like is: Issuer Credit rating Terms Price The information needs to be available over a period, for ...
3
votes
2answers
128 views

Is there a better way to price options than with historical volatility?

I know that annualized historical volatility calculated with closing prices is a much rougher estimate than implied volatility for the correct "volatility" parameter in options pricing models. ...
0
votes
0answers
12 views

Where could we download free historical exchange rate? [duplicate]

It doesn't seem yahoo finance and google finance supports download of historical exchange rates. Also, where could we get more accurate exchange rate tick data? Can we get this from open Bloomberg ...
0
votes
2answers
61 views

Historical data resources for Indian market

What is the best source for historical EOD data for Indian stock market? The data from Yahoo finance for some companies is not up-to-date and Google finance doesn't provide adjusted close prices. What ...
1
vote
1answer
69 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 ...
2
votes
3answers
124 views

Calculate bond returns from yields

I have to construct and evaluate portfolio of bonds and stocks, namely I need to get return on portfolio, standard deviation and sharpe ratios. I have weekly data that contains stock prices, and I ...
1
vote
3answers
222 views

Daily option data

I am wondering where I can pull daily (hourly, by-the-minute, etc. even better) option data for a particular underlying. I would prefer a database I could scrape through and API, but would not mind ...
0
votes
1answer
170 views

Level II market data (equities)

I have been playing around with some equities historical market data and I understand that different exchanges have different definitions of what Level II (Limit Order Book) data means. What I'm ...
1
vote
4answers
80 views

Data provider for daily futures settlement prices

Is there a data provider that has historical daily settlement prices for download? I'm interested in a provider that spans multiple exchanges.
0
votes
0answers
26 views

How to compare the volatility of quarterly p&l of two firms in the same sector?

I want to compare the volatility of the historical quarterly profit and loss data of two or more firms operating in the same sector and determine whether the volatility of p&l of these firms is ...
1
vote
1answer
553 views

Historical Value At Risk on option portfolio

I am new to Value at Risk subject in fact everything related to quant. Can any body validate the Value at Risk Model on the option price ? I am using a below explained approach . our portfolio ...
1
vote
2answers
97 views

Does the correlation of matrices have explanatory power when building a pattern recognition model?

I'm using 8 different variables (with daily observations) with the purpose to compare different months across the historical data. For that purpose I calculate the correlation between each month and ...
1
vote
1answer
179 views

Analog - Pattern Recognition model using KNN

I'm building a pattern recognition model for my master thesis. The idea is to build a framework with some Macro variables (long/short term rates; rates differential; equity; fx; vix) in order to find ...
0
votes
3answers
136 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 ...
1
vote
1answer
68 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 ...
1
vote
1answer
124 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 ...
1
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0answers
215 views

where to find historical option prices?

I have a dataset of options (traded in European exchanges such as NYSE Euronext) and I would like to find their price history. Where to find it? I see that ...
0
votes
2answers
159 views

Historic Value at Risk - Ratios vs. Differences

Quick Summary on Historic VaR Let $S_0,...,S_n$ be the daily values of some stock (where $S_0$ is the current value). Then for $i=1,\ldots,n$ we let $$\hat r_i:=S_{i-1}/S_i \quad \text{and}\quad \hat ...
0
votes
1answer
120 views

Mysterious disappearance of options from historical datasets

I am in the process of analyzing historical options data, and I keep finding options that mysteriously disappear before they are due to expire. For example: For the QQQ $69 Put, ...
1
vote
2answers
78 views

How To Account For Inflation Over Historical Data

I believe inflation is greatly affecting my sample data, even when using percent-changes for movements. I have read this post, which recommends the formula ((Current-Base Year CPI) * Price) / ...
1
vote
3answers
187 views

Hedge fund database with daily data

I am looking for a hedge fund database that provides returns daily. Is there any data provider that gives daily data?
0
votes
1answer
81 views

Best performing stocks in given year

Is there a function in Bloomberg that allows the user to search the best performing stocks for a given year, say 2011, in any given stock exchange? For example, I want to see the best performing ...
0
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0answers
26 views

Nominative financial datas

For a study I am looking for financial datas about trades in double auction markets. It would typically be transaction history containing the name of the participant (buyers and sellers) and the ...
2
votes
1answer
451 views

Google historical prices on Yahoo Finance before split?

I recently noticed that the price history for Google (GOOG) on Yahoo Finance only goes back to when the stock split. For a while I thought they just hadn't gotten around to adjusting the close prices ...
1
vote
1answer
55 views

“Equivalent” data sets despite different numbers

Are the historical data sets of short term treasury bill rates considered the same as the historical data sets of savings account interest rates because by definition they are both risk free rates of ...
-1
votes
1answer
101 views

Were can I find Historical Interest Rate Data?

Where can I find American historical Savings Account interest (Bank) rates? If you can, please attach corresponding links.
0
votes
1answer
147 views

S&P500 components at specific date [duplicate]

I am trying to reproduce a method presented in a scientific paper. They used the following dataset: daily closing prices of S&P500 stocks (the first 100, alphabetically by ticker, with a full ...
0
votes
2answers
637 views

Are PX_BID and PX_ASK on Bloomberg closing bid/ask? or are they daily averaged?

Bloomberg provides PX_BID and PX_ASK on a daily basis, but it's not clear exactly where these numbers come from. Are they closing bid and ask prices, or are they averaged over the entire day? For ...