# Tag Info

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

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Both free and paid access to data sets conatianing company financial statement items is available from Quandl. The free data sets are sourced from the SEC based on compnay electronic filings and go back about five years. For example, you could obtain five years of MSFT's quarterly net income using the R call Quandl("RAYMOND/MSFT_NET_INCOME_Q") Lists of ...

3

As can be seen from this example from Yahoo!Finance this should not happen (click on "+ The adjusted close"): https://help.yahoo.com/kb/finance/SLN2311.html?impressions=true Another more complete example can be found here: http://luminouslogic.com/how-to-normalize-historical-data-for-splits-dividends-etc.htm So my explanation is that this is a glitch in ...

3

There is a way to download Japanese stock data report OHLC/Volume directly from the Tokyo Stock Exchange. The only thing is: The report is in PDF format and involves some parsing, if you are willing to do some quantitative analysis. A hack, however, exists: Download the options/futures daily report. It's a nice CSV file, and it contains an underlying price ...

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 ...

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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

FREE SOURCES --> http://www.cmegroup.com/market-data/settlements/ http://www.cboe.com/data/Settlement.aspx Your best bet is going to each exchanges' website and downloading it directly from them. If not, you are going to have to find a data provider like a BBG or TR. I strongly recommend that you check out or get on a Bloomberg terminal, and type in ...

2

There is a vast literature on modelling time-series with periodcities. Rob Hyndman is one of the leading reseaerchers in this area. He has published the R package forecast and a free online text book on this subject (with another package and R code in the book). Your task is covered starting here.

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Get in touch with OptionMetrics, they have historical and daily updates for futures prices.

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Since I do not have enough rep to post more links, check these out as well. http:/online.wsj.com/mdc/public/page/2_3023-fut_metal-futures.html https:/globalderivatives.nyx.com/nyse-liffe-us/end-of-day-files http://ww.eurexchange.com/exchange-en/market-data/clearing-data/settlement-prices/

2

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 ...

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 ...

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Yes there is no data for 133. If you want to know which sectors have data try this select * from yahoo.finance.industry where id in (select industry.id from yahoo.finance.sectors) For example sector 111 has data <industry id="111" name="Synthetics"> <company name="American Nano Silicon Technolo" symbol="ANNO"/> <company ...

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Assuming you are at a decent university, you are better off seeing if you can get this data from Bloomberg or from a university subscription to Compustat.

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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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Unfortunately, there is no publicly available reliable source for historical VIX options data. Also, probably, in addition to VIX options you may need corresponding underlying futures data to do analysis (not only the corresponding VIX spot price). You can always go with an established commercial provider, of course.

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It all depends to me on whether your system can categorize a price series as "upward trending." I want objective, programmed rules. If my system includes a market condition filter then not only can I ignore cases that would not pass it, but I must ignore them to measure the system. If I invent the rule to optimize performance that ran cold in some tested ...

2

You have to be careful when saying "I would have done this". It's too easy in backtesting to make this mistake. From your description of the data, you have no way of knowing it was in a downtrend, until the downtrend was over or ,at least already in full swing. Nathan S's answer and radpin's comments are exactly what you have to do. I didn't answer just ...

2

Many funds, that manage ETFs provide this on their webpages. E.g. SDPR (SPY, XL* family) has is in "NAV history" xls file on https://www.spdrs.com/product/fund.seam?ticker=SPY

2

I'm not sure if you are looking for the components only or if you want more data, like the weights in the index. Unfortunately, unlike most other data on the web, it's hard to get any good financial data for free. The only easy way is to pay for accessing it through a financial data provider such as Bloomberg (with MEMB function when you select an index). ...

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.

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The Harvard Bankrupcy Data Project tries to do exactly that, they seem to have data for the specified time frame, but unfortunately I cannot vouch for its accuracy. http://bdp.law.harvard.edu/filingsdb.cfm edit: They don't seem to offer the full data any more, so that indeed won't work for you. You could instead try this one, one of the sources for the ...

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When the underlying asset is a stock making this special dividend to its shareholders, it will influence the option. Special dividends is not that common, but usually happens in companies with extraordinarily success or under liquidation / sale of a division / splitting up. Look at Special Dividend on Wikipedia.

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Without knowing more about the data, the security was probably halted. Is the pricing staled day over day? More info would be good.

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SONY http://stocks.finance.yahoo.co.jp/stocks/detail/?code=6758.T SONY's historical data http://stocks.finance.yahoo.co.jp/stocks/history/?code=6758.T

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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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