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10
votes
9answers
1k views

Where to get long time historical intraday data?

I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&...
1
vote
2answers
426 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.
3
votes
2answers
145 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 ...
3
votes
0answers
34 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 ...
2
votes
2answers
546 views

corporate action data

Can someone recommend a good source for corporate action data? I need at the very least: ticker changes, dividends, splits, acquisitions and delistings. I historically used Bloomberg Back Office and ...
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 ...
1
vote
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 ...
0
votes
3answers
195 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?
1
vote
1answer
35 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
1
vote
1answer
103 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 ...
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 ...
4
votes
2answers
304 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 ...
2
votes
1answer
36 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!
2
votes
2answers
198 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
vote
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
votes
5answers
2k views

Where can I get historical fundamental data for multiple companies in a single CSV file?

Summary I seek an explicit reference to a source that gives me a fixed URL, e.g. http://example.com/?isin=US1912161007 or ...
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 ...
2
votes
2answers
5k 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 ...
1
vote
1answer
29 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
votes
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
votes
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 ...
0
votes
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 ...
4
votes
1answer
82 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
votes
3answers
342 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. ...
2
votes
2answers
114 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 ...
1
vote
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,
3
votes
2answers
135 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 ...
0
votes
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
170 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 ...
4
votes
3answers
429 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?
0
votes
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
134 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/...
1
vote
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 ...
2
votes
3answers
626 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 ...
0
votes
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
votes
0answers
51 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
vote
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, ...
0
votes
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 ...
4
votes
6answers
258 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.
4
votes
1answer
868 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
1answer
515 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. http://www....
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 ...
4
votes
2answers
327 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 ...
3
votes
3answers
392 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 ...
2
votes
3answers
781 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 ...
1
vote
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
vote
0answers
42 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 ...
2
votes
4answers
3k 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 ...