Questions tagged [data]
Questions about handling, obtaining, generating, or analyzing all types of financial or economic data. Please use a more accurate tag if possible; for instance: tick-data, fundamentals, market-data, option-data, ticker-mapping, etc.
478
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90
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Multiplicative Metric Variance
I come from a math/statistics background and as learned some stuff as a data analyst
I learned a certain technique to calculate period to period variances between some metrics.
I was wondering if ...
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50
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Matching of Symbols from Bloomberg and refinitiv , for OTC derivatives trade clearing
I have been researching on this Scenario , since few days : -
Actually I have scenario , where we are dealing with OTC derivatives and BUY/SELL order can be punched in on different systems like Buy ...
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49
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Best data feed products for fundamentals data [duplicate]
I'm curious if there is any consensus 'leader' in terms of vendors selling (via data feed) fundamental data on global, publicly traded equities. Am curious for any thoughts on Worldscope Fundamentals (...
1
vote
1
answer
56
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Sampling dollar bars for ML model of multiple tickers
I have a Neural Network model that provides predictions for the future returns of a portfolio comprising stocks and cryptocurrencies. The original model operates on standard time bars and generates ...
- 213
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40
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Effect size for information coefficient
The information coefficient is the correlation between a signal $g(t)$ and returns $r(t)$. I’m hoping to build some practical intuition on the information coefficient.
Similar to the notion of effect ...
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1
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126
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Does Quandl offer raw futures data?
I am interested in downloading price data for individual futures contracts. For example, the price of the CBOT (CME) Wheat future ZWU3, which is the September 2023 contract for wheat, which will stop ...
2
votes
1
answer
51
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Is market data api subject to regulatory controls?
I have noticed that many (also paid) market data Apis provide incomplete or sometimes even completely wrong market data. Now I have noticed that almost all providers write in the terms and conditions ...
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61
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Estimating risk premium with cross sectional regression
I am trying to estimate a carbon risk premium according to the Fama & MacBeth methodology using a cross-sectional regression approach.
Therefore, I regress the excess return in period t+1 on the ...
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45
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Normalize positive distributed time series data without window parameters
I have a piece of daily volume and a piece of daily trades data, now I divide them and I get volume/trades as a factor. This factor has positive value and I want it to be normalized to predict the ...
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1
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147
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How to test an orderbook using real data
I'm pretty new to all this but haven't found anything online on my issue (the answer may be very obvious since I'm a beginner) - I'm currently coding up a very generic orderbook in C++ for fun, just ...
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73
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Hypothesis Test Contradiction?
I have a question regarding hypothesis testing. I used the t-test (2-tailed) for these hypotheses:
Whether the (monthly) mean return of company A's stock is different from 0
Whether the (monthly) ...
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77
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Filtering options data
I am looking to conduct some analytics with regards to options implied volatility. My advisor mentioned about filtering options with time to maturity of less than 7 calendar days. Is there a ...
- 569
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84
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Berkshire Hathaway ticker symbol B
I want to read the Berkshire Hathaway data using the getSymbols function in the quantmod package in R.
The ticker symbol is BRK-B.
getSymbols ( "BRK-B" )
...
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59
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How do I Download Consolidated Schedule of Investment Tables from a Company's 10-Q?
I need to analyze the Consolidated Schedule of Investment Tables found in the 10-Q of several companies. For example, from the following 10-Q report: https://www.sec.gov/Archives/edgar/data/1655888/...
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131
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Backtesting on one exchange, while trading on another?
I've been trading crypto futures on Phemex as it is one of the only few exchanges where I can do that from a U.S. IP address. I have always kept an up-to-date local database with OHLC/kline data from ...
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2
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103
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Bloomberg access from publishing platforms such as Posit Connect
It is easy to download Bloomberg data in Python or R using their blpapi API. The only requirement is that one is logged on the local Bloomberg terminal.
We often find ourselves working on publishing ...
- 101
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27
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Public dataset of stock open and closes that includes market cap [duplicate]
I want to do some analysis on a CSV dataset of historical stock movements. I found many, like this one.They include the opening and closing price for each stock for each day, which is great, but I ...
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54
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Difference in Bloomberg and I/B/E/S earnings data
I‘m looking at monthly 12-months trailing earnings for the S&P 500 Index since 1995. Index level earnings, not individual constituents.
I got the earnings time series for the index from Bloomberg ...
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290
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Bloomberg BQNT vs Dektop API
I am currently looking at alternatives to the Bloomberg Desktop API as I frequently reach the daily or even monthly data limit. One alternative which was proposed to me was switching from a desktop ...
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1
answer
155
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Tracking Historical Firm Names
I am working on a project that requires me to track firms' name changes.
The firms I am dealing with are international (a decent number of US firms, but also a sizeable number of European, Asian, and ...
- 41
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34
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"Forward" attribute for an option
I am downloading implied volatilities for some options. I noticed, however, that I am also able to choose "Forward" as an attribute for the option. What is this? Is it an option written on a ...
- 101
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66
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How to construct a approcimate order flow imbalance only from trade data without transaction data
I have read some paper like https://arxiv.org/abs/1011.6402 , which need transaction to construct order flow imbalance.
The binance api only have trades(Executed transactions) for spot data.
So I ...
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19
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Free data source for options IV and volatility data (US, UK, EUR Equities preferable)? [duplicate]
Where can I get free options implied volatility and realized volatility data?
I used to use Quandl, but they were acquired by NASDAQ and now offer this data under a premium paywall.
For reference, I ...
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64
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How to aggregate qualitative data?
I am trying to look for methods to aggregate and find the average of qualitative data.
There are 20 qualitative measures, each divided unevenly into 4 cycles labeled 1-4. I am trying to find which ...
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4
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1
answer
1k
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Efficient way to store orderbook in Python
I am using the Coinbase WebSocket API to extract real-time data about the orderbook for BTC-USD.
I am using the following code to store the snapshots of bids and asks and the changes to the orderbook ...
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5
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2
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507
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ML/AI in fixed income vs equity
From my perception of learning different ML/AI applications to finance I found there are lots of them in equity and not as many in fixed income. I wonder if the markets are different in some ways and ...
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49
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ML/DS in fixed income asset management
I am new to the topic but I would like to read papers/books/anything interesting to learn more how ML and data science is used in buy side Fixed income Asset management firms. Factor investing/signals/...
- 479
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322
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evaluate the predictive power of a signal to predict stock price - interview question
I am a young Statistics graduate.
A few days ago as an interview question, I have been asked to evaluate the predictive power of a Signal time series (supposedly output by an Artificial Intelligence ...
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4
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1
answer
414
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API for Commodities Stock markets
I would like to have a clear picture about lithium investments all over the World.
I like this website where I can see all companies related to lithium on the Australian Market.
The website also ...
0
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1
answer
499
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Which spread to use to analyse CDS data from Markit
So I am currently doing some analysis on CDS Data and I am using Markit to extract this data. However, I am a bit confused regarding the quotation standards here. I want to investigate the ...
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1
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81
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Can NumPy calculate the % change the way it is shown in multiple instrument charts?
I have closing prices for multiple equities in NumPy arrays (or a pandas timeseries DataFrame).
I like to calculate the % change numbers for the closing prices in the DataFrame the way it is shown in ...
- 109
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65
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Should I always round the data before even trying defining and backtesting my trading strategy?
Newbie here, it happens that I have 8 months of OHLC price data set at 1 hour timeframe from a particular cryptocurrency (ticket) called ALICE, here's a little ...
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38
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SONIA Reference Data Calculation / OIS Data
I am reading material reference rates calculation for SONIA by refinitiv. It says the data is calculated based on OIS Rates between 10:50AM and 11:00 AM.
https://www.refinitiv.com/content/dam/...
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64
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Italy Zero Coupon Yields
I am looking for historical data for Treasury bills and bond yields for Italy on a monthly or daily basis. Where can I get this data?
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117
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Back testing fixed income for bond portfolio management
When doing back test trying to replicate a paper, how do you handle bonds that are maturing in an index?
Say I was trying to create a strategy, how do I account for bonds that mature in terms of ...
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1
answer
124
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How do you identify top shareholders in SEC filings?
Schedule 13D is filed when a shareholder crosses 5% ownership and 13F is filed by fund managers to list their portfolio holdings. These are the only filings that I am currently aware of related to ...
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103
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How can I calculate the annual Standard Deviation for Sharpe Ratio of Daily Portfolio Returns?
I'm somewhat confused with regards to calculating the annual standard deviation and Sharpe ratio for my portfolio of daily returns.
I have daily data ranging from 1960-2020 and use Excel to make some ...
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2
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346
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Where do big data companies get data?
First time posting at Quantitative Finance, hope the question is well suited in this stack section.
I was wondering, where does big companies like Bloomberg or Reuters get their data?
Since now, in my ...
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2
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201
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Where can I get fundamental data on US public stocks in original form?
I'm looking for fundamental data on US public companies. If anyone could recommend paid or free sources of the fundamentals in original, non-standardized form that would be great. I tried scraping the ...
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2
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591
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What kind of data cleansing/scrubbing are hedge funds doing?
It's a well-known fact that several hedge funds have a handful of PhDs just doing data cleansing. All day. Every day.
What kind of data cleansing are they actually doing? Is it really that difficult? ...
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208
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Help with pulling company fundamentals from EDGAR
I need help understanding why there are many different values for a specific metric reported by a company's 10-K or 10-Q in the EDGAR database.
I've downloaded the entire US equity universe in JSON ...
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0
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696
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Fama-French factors creation using Bloomberg data
The standard FF factors as published by K. French (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) are created using CRSP data. If one downloads the (US) factors, the first ...
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1
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2k
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What's the most efficient way to store options and time series data for backtesting?
I would like to know what database would you guys use for storing around 500GB-1TB of options and time series tick data.
The idea is to use it for backtesting so it would have to be as efficient as ...
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1
answer
1k
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Bloomberg API / Excel Add In - Delisted Stocks
So I am using the Bloomberg Excel add in but can also use the API. My dilemma is I have a list of tickers containing SP500 historical constituents and I have retrieved 600 of them from an alternative ...
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228
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Historical ISM report on business?
Is there any place to download historical ISM ROB (report on business)? The website only shows current and previous month. ISM ROB
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2
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547
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Algorithm / source to calculate historical expiry dates of futures
I can find several source on this site where to find expiry dates of coming futures contracts.
I am looking for a (e.g. Python) algorithm or a data source where I can find historical dates when a ...
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1
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110
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How could I identify peers of companies (stocks) at scale?
Context:
I'm making a small script to screen through thousands of companies at scale. A feature that I want to include would be relative metrics, e.g. is this company growing faster than its peers, ...
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25
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Where to find a list of all the operable exploration / mining companies conducting operations in Canada [closed]
Looking to create a database firstly of all the exploration / mining companies conducting research in Canada. TSX and TSX-V have very nice spreadsheets with several filtering operations, which is very ...
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2
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2k
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When looking for arbitrage among a LARGE amount of assets, is there an optimal way?
Looking for arbitrage opportunities when looking at 3 pairs of related currencies is easy. However if we assume that we have a large amount of currencies, is there an optimal way to swipe through them ...
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1
answer
1k
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Is alpha vantage api for fundamental data reliable?
Can anyone speak to the reliability of the Alpha Vantage (AV) api for fundamental stock data? I have tried for a couple of stocks to get balance sheet data, and it seems close to accurate but I feel ...
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