Questions tagged [data]

Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.

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1answer
33 views

Is there a noticeable difference in making scatter plots and regression models with tick-data or with candle data?

I am asking this question because I want to research some variables. An example is the RSI where the current RSI is updated every tick. This means that the value of the RSI is fluctuating a lot inside ...
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0answers
33 views

Commodities API data source [duplicate]

I'm trying to get commodity historical information via API. I found this https://www.alphavantage.co/documentation/ which does somewhat provide some data for stocks and others but not commodities and ...
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2answers
53 views

Affordable NASDAQ/NYSE Tick-By-Tick

I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a ...
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1answer
54 views

How to download all stocks from NYSE, AMEX and Nasdaq from CRSP without entering individual company codes?

I was wondering if there is an efficient way to extract data on all the stocks from the CRSP dataset? In the Query Form I only have the option to enter company codes individually or to upload a .txt ...
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0answers
45 views

Downloading Historical Data from Finam.ru

I am looking for free historical intraday data (e.g., 30 mins, 1 hour) and I have came up to this website finam.ru, which is in Russian but it can be translated. The link to download the data is here. ...
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1answer
53 views

List of ticker-symbols of European countries

To download the European countries' equity (stocks) data from CRSP database, I need individual stocks ticker symbols. Can anyone help me regarding how can I get the list of ticker-symbols of European ...
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0answers
41 views

Did AlphaVantage drop the swedish stock exchange?

I have used AlphaVantage in the past to get data for the Stockholm Stock Exchange: I don't remember exactly the symbol I used, but it was something along the line of OMX:ABB or STO:ABB (for, say, ABB)....
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1answer
40 views

aggregate and convert tick-by-tick using fx data

I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
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26 views

Master thesis concerning DAX ETFs

I am currently trying to develop a thesis proposal related to the DAX German index or more precisely DAX ETFs however i am struggling with finding data regarding DAX ETFs, what i wanted to know is, if ...
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1answer
86 views

Global Maximum Drawdown and Maximum Drawdown Duration Implementation in Python

Following along with E.P. Chan's book, I'm attempting to calculate the maximum drawdown and the longest drawdown duration from cumulative portfolio returns. He codes it in MATLAB, but I wanted to try ...
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1answer
87 views

Credit Migration Risk

I have a problem in which I have been given data for two periods over a set of customers. Each set consists of the fields: ID, rating, PD, LGD, Exposure (on- and off-balance sheet exposures), EAD, RWA,...
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21 views

Why would this price data have lots of spikes above the trend line?

I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ...
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2answers
103 views

Can I download today's open/close/high/low data for all stocks (in bulk)? [duplicate]

EDIT: Regarding the [duplicate] designation: I carefully checked all the sites listed in the Equities and Equity Indices section of What data sources are available online?. I was not able to find ...
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28 views

Literature on realized volatility and sampling frequency?

I was looking for some papers that explicitly show how realized volatility changes as we change the sampling frequency. For example, comparing the annualized volatility estimated from daily data is ...
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1answer
40 views

Net volume reference for uptick and downtick

I am new to finance and I have been looking at market data in terms of prices, volumes and net volumes. From what I have gathered: Volume - number of transactions (buying-selling) throughout the ...
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2answers
106 views

Converting time bars to tick bars or volume bars in python

Recently I've started reading Advances in Financial Machine Learning by Marcos Lopez de Prado. In the second chapter the author defines some essential financial data structures, like tick bars, volume ...
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2answers
70 views

How to find/calculate daily S&P500 dividends?

I need a time series with daily dividend data on the S&P500. I understand most dividend data is on a quarterly basis but I'm looking to model short-term effects of COVID-19 on dividends so I need ...
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2answers
132 views

Is there an equivalent to SEC EDGAR for non-US companies, especially Europe?

For US public companies we can go on sec.gov to find their 10-K filings etc. Are there similar services in other countries? I'd be especially interested for in Europe, France, Germany, Italy, ...
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25 views

How to get daily S&P500 dividend and CPI data?

For a project where I'm modelling asset prices using heterogeneous dividend expectatations, I want to investigate the effect of the COVID-19 virus. This means I'm looking at daily stock price data ...
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0answers
13 views

Mutual Fund holdings data

Is there any source where mutual fund full holdings data can be found? I cannot seem to find it anywhere, even paid sources. Some sites will have to 10 or 25 holdings but not full.
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0answers
31 views

Stock IPO date data

I would like to get the date a company was founded and the date it went public for all US stocks listed on major exchanges (NYSE, NASDAQ). I thought this data would be very basic and easy to find, ...
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2answers
140 views

How to make a trading universe of liquid futures contracts

I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being ...
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2answers
197 views

How to get a Daily Market Cap using Python

I'm looking for a way of getting free historical daily market caps ? I can get todays Market cap from yahoo but need old market caps also.. thanks for the help. ps: I don't have Bloomberg and school ...
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1answer
67 views

Compound the monthly returns to make them quarterly [closed]

How can someone make the Kenneth French library data returns quarterly from monthly? Since they are not loq returns, then you need to compound returns rather than summing them up. I want to make the ...
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0answers
36 views

Which strategy did the fund most likely follow?

The following time series represents the return stream of a real hedge fund. Which strategy did the fund most likely follow? I did this data superimposition on Matlab. So, there should be some data ...
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0answers
29 views

Where can I get the listing dates of companies listed on the NYSE?

Where can I find the date when a company first listed its shares on the New York Stock Exchange? For example, if I am interested in finding the listing date for Abbott Laboratories or Union Pacific, ...
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0answers
92 views

Download historical MSCI/GICS Sector Index data

Similar to Where do I get historic performance data of the MSCI World Growth/Value index, I'm looking for historical data for the MSCI Sector Indexes (Energy, Material, Industrials, Financials and so ...
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0answers
17 views

CSR expenditure by firm

A bit of an exotic question for this sub, but I was hoping someone might have a suggestion nonetheless. I am looking for a dataset covering the CSR (Corporate Social Responsibility) expenditures of ...
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0answers
52 views

Is Morningstar data reliable?

Wondering if Morningstar financial statement data reliable? For example it doesn't have the Balance Sheet statement for BHP, while Marketwatch has it. Same for Renault SA the Balance Sheet is ...
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0answers
23 views

Where to get the “total” dividend (for a specific stock) from?

I´m trying to build a Stock ranking/Picking model sorted by some kind of score. For this I need the total dividend by Stock, let´s say for AAPL and FCAU I have been checking several financial sites, ...
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0answers
21 views

Why does real time tick data have to go through a Dataprovider to Business/Consumer?

So the data-flow for real-time tick data as I know it is from Exchange --to-- Dataprovider --to-- Business/consumer; but I want to understand why that dataprovider is necessary? I am full of fair ...
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0answers
23 views

NYSE Ticker Changes

I have seen that this questions has been asked before, but I find it hard to believe that there is no existing solution, so I'm asking again: Does anyone know of a website, database (beside Eikon or ...
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3answers
117 views

Where to get the stock universe?

Is there any way to reliably get a full list of symbols (in whatever format), for multiple exchanges (e.g. NYSE, NASDAQ, LSE, JPX, HKEX and so on). Additional info (like sector, or symbols of listed ...
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2answers
119 views

Does the non-causal nature of quant models limit their applicability?

I understand that to describe financial data, we build stochastic models and calibrate their parameters to past data. When coming up with new algorithms, we rely on rigorous backtesting to convince ...
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1answer
85 views

Downloading all stocks of an index from CRSP

I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly? ...
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0answers
29 views

Yearly Performance of US Mutual Funds

Does anyone if there is a dataset, possibly free, that has data on the historical performance of US mutual funds? It would be fantastic if it also includes their fee structure also. Thanks!
1
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1answer
200 views

How can I most efficiently deduce Renaissance Technologies' changes?

The Motley Fool, Nasdaq and Yahoo Finance all were able to deduce RenTech's purchases of cannabis stocks. I can see RenTech's quarterly reports on EDGAR, but they don't list changes. How can I ...
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1answer
61 views

IPO data source (NYSE / NASDAQ)

I am trying to get data for results of IPOs that took place on NYSE and NASDAQ in 2015-2020. My minimal need is: Date of IPO completion Company name or ticker (better yet, both) Total US$ amount ...
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1answer
37 views

Discrepancy in stock volume values for different intervals for the same day on Yahoo Finance

everyone. Probably, someone else before me noticed that peculiar behaviour but I have not found any thread with a relevant title. Anyway, here is the case. I have attached a screenshot which displays ...
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5answers
2k views

Where to get historical intraday stock data?

I hate to ask questions that have been asked before. But I am afraid that this is one of them. I have searched the web for days now, read so many forum posts. But I can't find an answer. Most answers ...
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0answers
53 views

Reputable source for historical US-listed EOD options data for backtesting

I've gone through the data thread and found a few viable options. ivolatility.com in particular has what I'm looking for (EOD US-listed NBBO options price data, volume, OI, history back to 2000) but ...
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1answer
94 views

How can I get NAICS (or SICS) data for the 6000+ stocks on the NYSE?

I have had no problem getting a CSV file with the 6000 or so NYSE stocks, but it just has the stock symbol and the market capitalization. How can I get the NAICS (or SICS) code for the companies ...
3
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1answer
124 views

Cleaning of high-frequency data

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x in the section dedicated to ...
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0answers
36 views

algorithm for identifying bad NBBO timestamps

Hi: Suppose I had one minute NBBO data for about 4,000 equities and 3 years worth of days. So, each stock has about 700 or so days of data and each day has the minute by minute bid price and ask price ...
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1answer
78 views

Where can I find data about Options for Europe (entire dataset)?

I need to get data about the entire dataset (i.e. all) of options for European countries. Where can I do that? For example, if I had to do it for US options, I would just use WRDS (to which I have ...
1
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1answer
323 views

How can I approximate Dollar Bars from Minute Data instead of Tick Data?

Having been influenced by de Prado's Advances in Machine learning book, I've set out to build the dollar bars (in which each bar represents a set dollar amount of transactions in the security) that he ...
3
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1answer
70 views

TeaFile discrete logic - how to write [closed]

I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file. Let's take this example: ...
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3answers
107 views

How to get know when CUSIP is changed

CUSIP code is not a constant, it could be changed. Does anybody know how to detect a CUSIP change? Is there any report with this info? Where can i find it? Thank you.
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1answer
70 views

Old codes for Companies (CUSIP/ISIN/SEDOL)

I found that for example ISIN have following rules: Merger and acquisition: Old ISINs for stock become inactive and are replaced by securities with a new ISIN. Bonds only need new ISINs if old ones ...
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0answers
40 views

I need to get data about tulip price between 1936-1937

I need to daily data for Tulip Price between 1936-1937. How can I find? Please help.

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