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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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It may not be possible to compute returns solely on yields. However, @Oleg has information on maturity (long term bonds, 20-30 years to maturity), and the YTM gives us a coupon for an "on the run" bond. As a proxy for this bond group, you could use a bond with 25 years left to maturity with an annual coupon of 7.44, where today was the coupon date, and the ...


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You can calculate an approximation. Yields are quoted on an annual basis. Bond valuations are based on Discounted Cash Flow formulas. Let’s take your sample data: weekly yields of 7.44, 7.43 and 7.40. $100 invested for a year at a yield of 7.44% will be worth 107.44 at the end of a year. That is 100 x (1.0744 ^ ( 365 / 365 )) = 107.44. The rate of ...


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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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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


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I do not know any free sources. One of the cheapest commercial is http://eoddata.com/products/default.aspx


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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/


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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 ...


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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 ...


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Your method does make sense to me, I do the same. The historical simulation is known to be a full evaluation approach: you simulate changes in market conditions by applying the same changes happened in the past to your risk factors, then you compute your portfolio value under the new market conditions. Since Value at Risk (VaR) is the maximum loss with a ...



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