New answers tagged

0

Market Risk VaR takes one year of history. Thus you wouldn't look 5-10 years of history. If you are using CDS prices only for pricing CDSs you don't need to, but if you have another model that takes CDS prices and links them to bonds, yes You don't need PCA. You can take quotes on CDSs closest to each term node, but you need to roll them to adjust for ...


0

If you are a programmer, you could just download the CSV data from yahoo finance or google or any other source. As you are not expecting real time data, and you seem to be more interested in long term data, it should be very easy. once you have the CSV data, you could generate the required reports in excel, as you like, which is just a 1 min configuration ...


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


0

A very decent place to get options data is https://www.historicaloptiondata.com. It is not free and I do not know anywhere you would be able to download such data for free. Re: options greeks there was discussion recently historical options data


1

If you really just want the charts, you can get this on the TD Ameritrade platform. You do need a funded account, so it is not exactly "free" but there aren't any fees associated with it. In their desktop client, you can select "On Demand" mode. This gives you the ability to rewind to earlier points in history for sim trading purposes. Just rewind back ...


-3

I've been collecting daily option prices for all symbols/strikes since beginning 2014. If anyone interested, let me know (not free)


0

Probably Option Metrics which you can find on WRDS is what you are looking for.


0

The DataTools product from Norgate covers 13 futures exchanges and about 100 markets. The "Close" price is the daily settlement value for all markets except where indicated (a handful of them shown are "Last" / "Official Close"). http://www.premiumdata.net/products/datatools http://www.premiumdata.net/products/datatools/futures-coverage.php The coverage ...


1

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 ...


0

What I would do : Step 1. Calculate $V=\sum_i \frac{\Delta P_i^2}{dt_i}$ Step 2. Annualize V. $V_a=\frac{V}{T}$ Step 3. Find $\sigma = \sqrt{V_a}$


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 ...


5

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


0

Check out BarchartOnDemand. They have CME EOD data as an API...it may not be advertised but I know is available via their API (http://www.barchartondemand.com/api.php ). Pricing is not published but should be reasonable for an individual just looking for EOD. You can also get the same data through QuantGo.com but have to use it on your own computer instance ...


4

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 ...


0

https://www.tickdata.com/ They provide trade and quote and there is also an API.


1

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



Top 50 recent answers are included