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106

This post is Quant Stack Exchange's master list of data sources. Please append your links to other data sources to the list below. Economic Data See What are the most useful sources of economics data? on Cross Validated. World OECD.StatExtracts includes data and metadata for OECD countries and selected non-member economies. United Kingdom ...


19

Department of Mathematics at University of Minnesota has 4 online lectures on financial mathematics - Lectures on financial mathematics: Notes on Financial Mathematics The Risk-Neutral World Δ-Hedging The Central Limit Theorem David Harper aka Bionic Turtle has set of small videos on his website about quantitative finance and risk management - Bionic ...


14

Clark, This is one of the popular questions we have on our community when someone new to the field come in and ask where they should start. We point them all to the list we have gathered which is now one of the most comprehensive list for quant finance http://www.quantnet.com/master-reading-list-for-quants/


11

I'm only aware about 3 free data sources: EuroNext. Bonds and Equities are available. "Search by Criteria" -> select instrument -> "Data downloads". RBS Databank. Interest rates, FX rate, commodities and CPI GAIN Capital. It contains infomation about FX rates only


10

This is a great question. I hope there are many valuable contributions. The recent (Jan 27, 28) MIT 150 Symposium, "Economics and Finance: From Theory to Practice to Policy". http://mit150.mit.edu/symposia/economics Specifically, the Jan 28 should be of interest (Finance). I particularly enjoyed Ross. "Finding Alpha" Videos (based on Falkenstein's ...


9

There is certainly much more to quantitative finance than technical analysis, and a previous question does a decent job of outlining the different areas, as does the wikipedia on "quantitative analyst". Even for what wikipedia terms an "algorithmic trading quant" or what Mark Joshi terms a "statistical arbitrage quant", technical analysis is just one tool ...


8

-- (historical) stock prices -- What do you mean by that? Nominal, real, corrected due to monetary-base-change, corrections with Y-other-things? What is your goal? I have been able to download (historical) stock prices via yahoo and google. Alas looking historical data from Google/Yahoo's screeners can be highly misleading and making conclusion ...


8

I don't know how interested you are in the CME data, but I have been learning about options and volatility modeling. I have been working with delayed CME data. I have been able to extract the JSON queries and now have been able to run them in my .NET application to get data for every asset type. Exmaple of ES options data: Run the query below in Chrome ...


8

Eric Zivot's Introduction to Computational Finance and Financial Econometrics on Coursera.


7

Academic access to Thomson Reuters Tick History: www.sirca.org.au The Thomson Reuters Tick History database provides millisecond-timestamped tick data going back to January 1996, covering 45 million OTC and exchange-traded instruments worldwide. The database currently updates at a rate of 1 million messages per second and is around 3 Petabytes ...


7

Second Joshi guide but yout you can do better than that. We have a list for all level, some of them are free to download (just like Joshi), others are books and websites that for beginner level http://www.quantnet.com/master-reading-list-for-quants/ As for websites and blogs, there are only a handful of them out there (this is a niche field after all). I ...


7

quandl is a new data source for all kind of econometric time series.


7

I strongly recommend Robert Shiller's "Financial Markets".


7

Khan Academy now offers finance videos (he already started with e.g. the basics of option trading strategies and arbitrage pricing):


7

Google and Yahoo finance have a survivorship bias -- they only include firms that are still around. I know of no free source that provides the data you seek. I get my data from Compustat and CRSP via the Wharton Resource Data Service, but these (or Bloomberg or Reuters) are likely too expensive for an individual. Have you asked your broker if they will sell ...


7

Have a look here: http://www.climatelogic.com/ The method is based on a sequential F-test, see also this paper: Rodionov, S.N., 2005b: Detecting regime shifts in the mean and variance: Methods and specific examples. In: Large-Scale Disturbances (Regime Shifts) and Recovery in Aquatic Ecosystems: Challenges for Management Toward Sustainability, V. Velikova ...


6

There is a mathfinance "tube": http://www.mathfinance.cn/video/


6

Natural experiments are good working material for MA-thesis (less issue statistically speaking, quicker path to results,...). A good one recently in finance deals with short selling ban: in many countries in the euro-zone, in 2008, short sales were banned on some banks/financial corporations in some countries (Greece, France, Belgium, Germany) while still ...


6

This is the canonical Arrow-Pratt "portfolio" model. Couple of points on terminology: For a function $u$, we define the risk aversion function by $r_u(x):=-\frac{u''(x)}{u'(x)}$. In your utility function, $r_u(x) = \lambda$; hence, it is a constant absolute risk aversion utility and $\lambda$ is the "coefficient of risk aversion," not the "risk ...


5

Most large banks generally sell the mortgages they originate to investors, but they retain the servicing rights. Therefore, they make money via origination and servicing fees; the spread between deposit rates and mortgage loan rates isn't as simple or important as your question suggests.


5

There is a very cheap, i.e. free, way of obtaining the list of companies included in the S&P 500 at any given time. Check the revision history for the S&P 500 List updates on Wikipedia. It is ugly and unreliable but you usually get what you pay for :) ... it should be okay if you are just playing around with your own strategies. This doesn't ...


5

Hi Quantitative Finance has in my opinion two main streams. The first is about of valuation of some derivative contracts in a consistent way. This is a theory and once paradigms accepted it is coherent, it can considered as science at the same level as economy can pretend to this kind of terminology. The second is about making (or trying to) prediction(s) ...


5

One simple way to approach this question is to look at what quantitative hedge funds did well during the crisis, and try to understand what strategies they employed. As an example, you can look at the Barron's 100 from 2009. The top performing fund was RenTech's Medallion. Their strategy is not publicly known. There were only two broad hedge fund ...


5

The general idea is to bootstrap the discount factors in the correct order, based on the data you have given. I'm going to make some assumptions that your bonds are paying annual coupons. The longest maturity is 2.5 years, meaning you need discount factors for 6M, 1.5Y and 2.5Y. The 6M deposit has a rate of 5%, this tells you that you should use the 5% rate ...


4

Wilmott and NuclearPhynance are two fairly popular forums, although quant.stackexchange.com will hopefully serve as a better resource in the future.


4

Somewhat more economic data can be found at e.g.: The World Bank The United Nations The OECD More financial: The IMF European Union / EFTA / EMU data: Eurostat European Central Bank (financial) Data from these sources is all freely available. You can also play with data from many of these sources using the Google Public Data Explorer.


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To get a consolidated feed of most of the data feets here use Quandl. This is free for limited amount of requests per day.


4

Quite a lot of lectures on Wilmott.com: http://wilmott.com/av.cfm


4

A couple of lecture note links, no video or audio, but these are pretty useful nonetheless. Notes from Emmanuel Derman's 2007 Columbia course on the Volatility Smile Andrew Lesniewski's 2009 notes on Interest Rate and Credit pricing, on his Lectures and Presentations page, there are a few other interesting presentations there as well.



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