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None of the previous answers have mentioned the fact that Bloomberg supports an API with support for all the main languages (C, C++, Java, Python, Perl -- and even Node and Haskell support on GitHub), on all the relevant operating systems: Windows, Linux, OS X, Solaris. This includes support for tick data which is stored in a rolling window (ie from ...


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As background, Floating point precision is a way of storing numbers such that the precision is relative to the largest digit. For instance, the number $0.00123$ stored in fixed precision needs 6 digits of precision (3 zeros and the 3 non-zero numbers). However, this same number stored as floating point precision $1.23 \cdot 10^{-3}$ needs only 3 ...


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All option pricing formulas except this one and this one use some sort of historical volatility . I can't see how you can use the Black Sholes framework and not use some sort of historical volatility uses an order book uses geometric shapes and volume


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If you want to estimate volatility from historical data, the only best linear unbiased estimator (BLUE) is $$\sigma=\sqrt{\frac{1}{T-1}\sum_{i=1}^T (r_i-E(r_i))^2}$$ Any other estimator will hence either be biased or not consistent. Another approach could be to estimate volatility via a GARCH model, which has shown good empirical results in the past. It is ...


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Complete intraday data history can be obtained through the Thomson Reuters DataScope Tick History (TRDTH) archive: http://thomsonreuters.com/tick-history You may ask them for a trial subscription.


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The answer to your question probably depends on the type of the security you want to query the data from, their vendor (not Bloomberg, the original vendor) and your license with Bloomberg. I don't remember having no access to intraday data, but I remember having limited history for sure (more data implied more fees as far as I can remember). But in ...



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