# Tag Info

## Hot answers tagged historical-data

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 ...

4

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

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.

4

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 ...

4

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 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 ...

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

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

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 ...

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

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

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.

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 ...

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

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

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 ...

2

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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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.

2

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 ...

1

There's a couple of options other than Google or Yahoo that I am aware of. The NSE provides EOD data, as well as 5,2 and 1 minute data. If you're willing to pay for high quality data for your application, this is an excellent choice. http://www.nseindia.com/supra_global/content/dotex/data_products.htm Quandl provides comparatively clean, free EOD data ...

1

There is no such thing as "free" option data. This is free -->http://www.nasdaq.com/symbol/aapl/option-chain You could crawl that. But to get the actual ticks or intraday data, you will unfortunately have to pay. I strongly suggest you find a college business program that has option data ticks and reach out to them. Best of luck, JL

1

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

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