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12

That was the devaluation of the French franc on 8 August, 1969 (by 12.5% in terms of par value), decided by President Pompidou and his finance minister Giscard d'Estaing. In those days exchange rates were quasi-fixed but subject to periodic realignments (the so-called Bretton Woods system of exchange rates, which was replaced by today's floating rate system ...


9

You are not clear if you want the S&P500 index (SPY), OPRA Options or the Futures. Having spent a lot of time exploring vendors, here is a summary to help you (in alphabetical order): AlgoSeek.com : Intraday data back to 2007 for US Equities, Futures and Options. So you can get S&P 500 data. Intraday they have tick, 1 sec, 1 min and 5 min OHLC ...


5

Markit Pricing Data is a prime source for cds data (not free).


3

Compustat supports unlimited data export keeps the history of disbanded entities provides restatements since 1950 + point-in-time data since 1986 coverage since 1950 list of variables (data guide) Compustat is a S&P subsidiary. It goes as a plugin for CapitalIQ (also S&P), WRDS, CRSP, and other platforms. Pricing starts from \$3k. A platform ...


3

I dont know of any provider that fulfills your whole requirements, but perhaps I can give you some useful information. General thoughts: Some vendors (e.g. MSCI) can have statements in their license agreements that prohibit an entity from storing historical data older than e.g. 3 years. This could be one obstacle in finding a supplier who has full 10 year ...


3

If you have a friend studying at almost any university you can get access to WRDS. Inside WRDS just go to Compustat which has all the info you need for dates since 1950.


2

My understanding is that there are multiple S&P500 total return indexes. Each has a different base year, 1936, 1970, 1988 and year to date. If you can't find the ticker for the different indexes on bloomberg or by asking support, you could try s&p themselves. I was also able to find 1970 to present here(not sure on quality), ...


2

Thomson Reuters Tick History. Reasons you might want to use it: 1) It has just about everything you could possibly imagine, going back a long way, and more. 2) The API is (mostly) straightforward to use, so you can download tons of stuff without mucking around in Excel or spreadsheets of any kind. 3) The data can arrive pre-cleaned. Of course, it is ...


2

There are two mainly (good) free sources available online: wolphramalpha.com Quandl They report the mainly market and fundamental data, so you will not find any particular fundamental accounting ratio. In the case you need particular ratio or data, you should get some better financial data provider, as, for instance, Bloomberg or Thompson Reuters.


2

Historical intraday data for S&P500 going back to the 1980's is available from Tickdata.com . It is not free.


2

You can try premiumdata.net. Among several sources I used this provides most clean data. They account for splits and dividends. Delisted securities are present in the data. This is not free but the price is modest for this quality for my point of view. They provide EOD data for US, Australian and Singapore stock exchanges.


2

If you plot the price series against volume or open interest, you'll see there was no trading at all in the contract during the early part of the series. This is common for futures – the exchange lists quite a few of them, but only nearby expiries are actually traded. The other contracts still have daily settlement prices, but cannot be relied upon.


2

For what concerns Forex data which is, however financial data after all, I often use http://www.histdata.com/. Their data is delivered in .CSV format. For timeframes, I quote the website: We can only deliver you time ordered Tick and M1 (1 minute) data. The data that we have available is organized by forex-pair/year/month. They also provide data for ...


2

Stock / ETF at 5-minute intervals can be downloaded from Yahoo Finance. See the code below: from urllib import urlretrieve import numpy as np, pandas as pd, sys import datetime as dt, requests import datetime, re, StringIO symbol = sys.argv[1] url='http://chartapi.finance.yahoo.com/instrument/1.0/%s/chartdata;type=quote;range=3d/csv' % symbol response = ...


2

Most of the information is not publicly available, nor are the data free of charge. One of the better sources is Kenny Tang's book, Tang, K., Ed. (2010). Weather Risk Management: A guide for corporations, hedge funds and investors, Risk Books. ISBN-13: 9781904339687


2

I did not know this provider, but had a look. for daily data, the url seems to be http://www.netfonds.no/quotes/paperhistory.php?paper=GOOG.O&csv_format=txt for market depth: http://www.netfonds.no/quotes/posdump.php?date=20160303&paper=E-SABL.BTSE&csv_format=txt for intraday trades: ...


1

Morningstar Morningstar partnered with Quantopian, and the latter published the structure of Morningstar's equity fundamentals database: https://www.quantopian.com/help/fundamentals Quantopian users can use this data for free.


1

Native support is very limited. TradeStation's WebAPI pretty much works with any language because it is wrapped in HTTP calls using RESTful. If a platform has an API that supports std C/C++ interfaces, you can write a wrapper to extend the API to python. Search for "Calling C from Python". It is more work to code, but otherwise your choices are very ...


1

I've collected minute data for forex scarped by yahoo finance for last year Columns: Timestamp,close,high,low,open,volume https://www.dropbox.com/sh/1j4gitwy81oo0k7/AACoPasZR4dVHkMNXxUnZwr6a?dl=0


1

I agree on Richard. the simpler you choose, the better it is so as to get reliable estimates. What's your data frequency? purpose? For model construction as far as I am concerned, daily data from 2010 is enough. Otherwise, you could use a proxy asset for asset D depending on its nature. To clarify, if D is an ETF let's say CAC 40 ETF, concatenate its return ...


1

You can consider old prices for Stocks B, C and D to be "missing data" and apply techniques used by Statisticians to deal with such missing data. One approach, the EM algorithm, suggests you estimate the covariance for the common period, use that covariance matrix and the available data to generate pseudo data for the back period for the third stock and ...


1

The short answer: Take all time series starting from 2010 (at most). The covarianc-matrix tells you something about the assets for a certain amount of time. E.g. if I estiamte the covaraince matrix of those 4 assets taking into account data from the last year (!) then I can expect that this matrix remains valid for the coming 1-3 months - if the markets ...


1

You're getting confused because data providers will actually give you "continuous" contracts which are not the ones traded. When you get in a future contract trade, you buy a future contract which has an expiry date. After that date, the contract does not exist anymore, money is exchanged against underlying for those who still have a position. When you do ...


1

S&P Compustat is the standard for most academic research.


1

If you really want accuracy, the answer is the SEC. Otherwise, you'll have to expect some inaccuracies. Bloomberg I would probably rank highest of the ones listed, but this is more qualitative than quantitative, as I know of no studies that suggest it to be most accurate.


1

Let me guess, you fell for one of the fake Quantquote reviews and decided to purchase their buggy data? The reason for the missing quotes is Quantquote data is more of a snap-shot of market activity. It will not record every quote the way TickData or CQG does. ActiveTick is not as expansive as TickData but is more comprehensive than Quantquote. Maybe this ...


1

You won't get an exact answer for this I'm sure, all one can say is welcome to the world of finance and bad data. All jokes aside there could be a number of reasons (one vendor missed a message, network lag, not getting quotes from a certain exchange exc).


1

If you are using Bloomberg then you can pull prices adjusted for corporate actions such as splits, dividends, and other capital adjustments, assuming this meets your needs (i.e. momentum based quant strategies). If you know which global equity indices to track then you can pull the historical constituents to minimise survivorship bias. In Bloomberg, MSCI ...


1

You can get minutely as-traded prices for all US securities on Quantopian, for free. You can't download the original data, but you can query it, analyze it, and do your research within a hosted IPython notebook on the website. Once you register, go to https://www.quantopian.com/research and check the get_pricing() demo notebook. Disclosure: I work at ...


1

I would second Colin's proposal of Reuters Tick History or perhaps BB B-PIPE. The pricing model is especially attractive in your case since you are mainly interested in a finite subset of tickers, i.e. the S&P 500 composite, and they cover a very large set of exchanges. The choice between exchange and data vendor is largely a matter of cost-to-symbols ...



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