# Tag Info

9

The volatility in the indices long ago was similar in magnitude to what it is today. The problem you are seeing in your plots is one of compounding and scaling. Think of it this way- back in the mid 70's the magnitude of NASDAQ pricing was around \$100. Today it is on the order of \$4000, a change of 40x. In linear terms, a 1% change in the index today ...

6

The fx market, contrary to most other asset classes is an almost entirely fragmented over-the-counter market, aside the very small number of fx futures that are trading at dismal liquidity levels. Therefore, you will not encounter a single serious liquidity provider that will take a stab at estimating total traded volume in any of the currency pairs. Having ...

6

No - clearly you've not seen the licensing agreements the exchanges force you to sign (one way or the other). Generally such firms and individuals have greater utility from the money they'll make working with the data than risking going to jail. Market data is a 5bn / yr business. You're pushing the proverbial up-hill. Anyway, you can get financial index ...

4

I think storing in UTC format is good practice. Here couple ideas that may motivate someone to deviate from that: Some markets are subject to day light saving time shifts and thus it introduces additional computations to convert back and forth, having to keep track of the 2 times a year the shifts occur. Some only limit themselves to an individual market, ...

4

(P) prefix : As a service to the market and typically at the request of an issuer, Moody's will assign a provisional rating when it is highly likely that the rating will become final after all documents are received, or an obligation is issued into the market. A provisional rating is denoted by placing a (P) in front of the rating. Such ratings may also be ...

4

The data has definitely not disappeared, it's a problem with your vendor. There has been a corporate action on 2014-02-27 and hence the strike prices have been adapted accordingly. According to Bloomberg bsym your P69 (composite ID BBG004L7P7L6) became P68.63, and P70 (BBG004L7P8C4) became P69.63.

3

Correct explanation by Freddy. Retail investors and even most institutional investors don't have access to trading, bid, or ask volumes. The reason is that there is no centralized body who would aggregate data. Would it be possible to put it in place? Certainly, but the big fx players (handful of the really big banks) would suffer. Although not even the ...

3

The stock was split into two share classes, the series that you might be looking for is under the ticker GOOGL.

3

From a note of P. Krugman (link): So no it is not. Why ? I would say 3 cause: First: Dynamics, saving rates are longterm figures. Offer and demand would be different for these products. Some time there is a lack of liquidity and a need of financement, so a huge demand in short term bonds. Second: bank margin, reserve policies, they have to earn some ...

3

In effect, you are wondering whether to price this option on risk-free probability distributions (B-S drift $r_f$), or real-world ones (B-S drift $\mu$, however calibrated) One cannot short the mutual fund, so the argument for using risk-free is weakened. But, there are various economic equilibrium arguments why using it may still be OK. If you use the ...

3

It depends obviously on which specific leverage you attempt to measure but you can certainly build some sort of index from, for example, the below: Aggregate smoothed equity P/E ratio divergence from long term mean (in a sense it reflects how money is levered to buy stocks at multiples of their long term P/E mean). Broad money in circulation -> Money ...

3

Depends on your budget of course, but: Mergent offers a great service, expensive though. Six Financial Information offers good Corporate Actions service. (Personally, I would go with this one) Morning Star Interactive Data (very hard company to deal with, their legal would waste a lot of your time, but may still worth to get a quote) Also, consider how ...

3

As you've mentioned, it depends on the trading venue and the exact market data product that you're subscribed to. Unless otherwise stated, the data is usually updated at every occurrence of an event (explains the irregualr intervals), and often, the data is not disseminated immediately and multiple events may be batched in a single message informing you of ...

3

This is an interesting topic. I assumed that you are looking for a public data source. Here is the margin data as reported by NYSE organizations (nyxdata) that offers a downloadable file. Here is the page of FINRA for Margin Statistics. This is an HTML page, I did not find a link to download a data file. You can validate the two sources against each ...

2

This may or may not help you depending on what resources are available to you. If you happen to have access to any source of daily data which contains both tickers and SEDOLs (i.e., the London Stock exchange unique identifiers; these are quite commonly used), then you can trivially derive 99% of all ticker changes. When a ticker changes, the SEDOLs ...

2

To construct best bid/ask from ITCH you must build a book incrementally from the messages in the data. Every message, except for system oriented messages, and non-displayed Trades, represent an order or an action on an order. Process the data, build a book, and you will naturally be left with the best bid/ask at the top of each side.

2

Here is what you can definitely use: Thomson Reuters Eikon

2

I composed Gain-Capital's historical data files into one series for back-testing a while ago and too noticed that they are out of order. Each CSV file contains correctly ordered data points but it seems the CSV files are out of order (maybe wrongly named). I went for another source in the end. If Index A comes in at 12:00:01.001 and Forex B comes in at ...

2

PX_BID and PX_ASK are the static equivalents of BID and ASK, the latter two of which populate in "real time" (i.e. as they are dynamically updated). So the PX_BID and PX_ASK values are dependent upon when you pulled the data. Bloomberg's source depends on the asset in question and the exchange on which they are listed, but the data does come from the ...

2

There are actually a lot of options nowadays. Adjusting your data using historical realized inflation is certainly one way to go. And as @User1996 mentioned, the CPI for All Urban Consumers is the frequently quoted "headline" number. However, to the extent that asset prices reflect inflation expectations, it might be better to use forward-looking ...

2

The U.S. Consumer Price Index For All Urban Consumers (http://research.stlouisfed.org/fred2/series/CPIAUCSL) is the CPI you hear in the news, and is the standard inflation number.

2

Most hedges funds only allow monthly subscriptions and redemptions; which means they will only publish official prices on a monthly basis. If someone does publish daily data view it with suspicion. Having said that HFRX publish numbers on a daily basis.

2

As a short summary and adaption of the question: You better redefine $\hat{r}_i= \frac{S_{i-1}}{S_1}-1$ and $\hat{S}_i = (1+\hat{r}_i)S_0$. The above definition of $\hat{S}_i$ yields a sample of potential values for $S$ for the future day. This approach is usually applied in historical simulation. The aim here is to use information of the past about the ...

2

One possible route would be to get the historical price data from Yahoo and use disparities between the Close returns and the Adjusted Close returns, given a certain threshold value, and where the disparity passes that threshold is where the splits have occurred. Find the Close returns where that condition was met, maybe round the number to the nearest ...

2

I found US data here. While this data doesn't include correlations, these can be calculated relatively easily.

2

Unfortunately I don't think it's possible to compute returns purely based on yields... There are a few options: If you're on the buy side, you can easily get access to Barclay, Citi, or BofA's bond indices. These are very high quality datasets for studying historical bond returns. If you have Bloomberg, they've started providing bond indices as well. They ...

1

For each major index, Bloomberg has functions that will give you the best performers for each relevant period; past week, past month, past quarter, past year, etc. I would take one of these "runs," and then re-set the start and end dates to the ones that you want.

1

I don't know about free of charge, but if you're subscribed to WRDS or similar data sources, then here's how to get the historical S&P 500 constituents data

1

They represent the current BID and ASK at the time you query them. If you look up those fields in the terminal FLDS<GO> you will see they are marked as reference data, that means they are not continually updated. They are refreshed each time you query them. They come from the NBBO quote at the time you query them.

1

Yes definitely, the biggest challenge of using direct exchange feeds is the cost of maintenance. Here are a few issues to consider in your position: Cost of maintenance. This includes the time it takes to write a feed handler and keep it up-to-date against the exchange's feed API; the cost of colocation, and (often) higher licensing costs of receiving the ...

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