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Questions tagged [data]

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

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Historical prices and fundamentals for US market with the right to re-publish

I would like to build analytical web-site similar to Yahoo Finance, but can't find the data provider with the reasonable prices. Do you know if there's free datasets or costing <1000$/year ...
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2answers
62 views

Datasource of all scheduled news events for S&P 500 stocks

I am looking for a datasource which contains all news events specific to equities of the S&P 500, whose release date was scheduled in advance. That is, I am not looking for surprise news. For ...
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19 views

Loan Level Data for Residential Mortgage Backed Securities

I'm looking for loan level detail for Residential Mortgage Backed Securities. The SEC requires that form ABS-EE (individual level asset data) be filed for all offerings backed by residential ...
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1answer
45 views

Are Kenneth French Research Returns log-Returns?

Does anyone know if Kenneth French's return data on his website is log returns?
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22 views

From FIX messages to Dashboard

After lots of reading here & google, I can't manage to get a clear idea of how to do this. We recieve FIX tick by tick data from an exchange and my goal is to display this data on a dynamic ...
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13 views

Where to get a list of most active stocks? [duplicate]

So, I am working for a website right now, where for the homepage of the website, I want to pull a list of 10-20 most active stocks of the week, load them into a Python list, and then, using another ...
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16 views

Where to download data sets of historical volume or number of transaction of stock? [duplicate]

I have search many websites, but most of the website only provide the historical price data of stocks. Any suggestion website which provide data of historical volume or number of transaction of stocks?...
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2answers
57 views

Imputation of missing returns

I'm trying to calculate a historical VaR for a portfolio of futures, however there are certain days for which some assets are missing prices. Since the portfolio consists of many spread positions, the ...
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1answer
87 views

Bloomberg's Open Market Data Initiative

I am reading about OMDI: https://www.bloomberg.com/company/announcements/bloomberg-opens-its-data-distribution-technology/ After reading that, I am still not sure: Is it free? If so, what kind of ...
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16 views

Collateralized Bond Obligations History

Collateralized Bond Obligations (CBOs) were a form of CDOs that were more popular in the early 2000s. I am looking for: Historical loss rates on their tranches (if available) Whether historically any ...
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36 views

Credit Default Swap transaction data

I'm looking for historical transaction data for (OTC) Credit Default Swaps. One option is to take a look on DTCC Data: http://www.dtcc.com/repository-otc-data.aspx Are there other options to get the ...
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1answer
34 views

Kenneth Frenches Data library return data to price data?

I have downloaded the industry portfolios from Kenneth Frenches data library, I am wondering if anyone knows where I can find the price data? Can I convert it even if I don't have a starting value? ...
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1answer
61 views

How to obtain data for Benford's Law analysis?

First off, let me be specific as to what I mean by "Benford's Law analysis": I'm looking to test, given some data, if the set of first significant digits are independent, identically distributed ...
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3answers
79 views

Filling a few missing data in time series?

I'm writing a paper about Uncertainty indices like VIX, etc. I already collected all data but it seems that some of the variables got a few or a little more missing data. I have daily and monthly data ...
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1answer
61 views

Simulating trading strategies

I want to simulate real time trading strategies. For simplicity, let's say I only want to simulate a long-only portfolio on S&P500. I have a couple of questions: Is there a place online where ...
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1answer
125 views

How to deal with missing value in a time series stock market data?

I have collected data for the period of 2002 to 2018 for following indices Nifty (India), NASDAQ (US), ADX (UAE) and TASI (Saudi Arabia). After collection, I have arranged data in a single sheet with ...
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3answers
149 views

10 years intraday for a single stock

For a personal experiment I need to acquire 10 years worth of data (with time resolution hourly at least) for a single stock. It doesn't really matter which stock, and the data doesn't need to be very ...
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Identifying primary share class of U.S. firms and deleting excess observations

I have a fairly large dataset of CRSP firms with their daily closing prices from 2006 till 2017. I need to filter the data so that I have one daily observation per unique firm. I've identified the ...
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2answers
107 views

How do I calculate bad debt on revolving credit?

I have a revolving credit system. A customer purchases and then has 6 months to pay off the purchase. i.e. Purchase for 60 in Jan and then need to pay 10 a month in Feb, Mar, Apr, May, Jun, Jul. The ...
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1answer
69 views

Downloading historical data of “Financial Account Data”

I would like to know how to download historical data from www.federalreserve.gov/apps/fof/FOFTables.aspx Please advise.
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1answer
259 views

Automatically get iShares ETF holdings

I heard that ETF's must publicly report their holdings all the time. I have seen that for example on the iShares website I can download the list of holdings as a csv file: https://www.ishares.com/us/...
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29 views

Bond Data on UK corporate

I have got data from FRED on Moody's Seasoned Aaa Corporate Bond Yield. Does anyone know where I can get such UK data on this? If not, would using exchange rates and the interest rate parity theorem ...
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2answers
148 views

Classifying stocks by industry (free)

Is there anyway to get the stock symbols of an exchange classified by industry? For example: AMD-semiconductor The best I could find was this page: https://money.cnn.com/data/sectors/tech/electronic/...
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Mapping international firms in I/B/E/S to Compustat

Follow up to my previous question on how to map I/B/E/S to Compustat. A big chunk of firms in both Compustat and I/B/E/S failed to map via CRSP for me. After some investigation, I noticed that they ...
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1answer
59 views

Subset selection to identify independent variables that impact the market?

Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally ...
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1answer
124 views

how to treat NA values in Compustat and CRSP

In some years, some accounting values of some companies are missing in Compustat and CRSP. How do I treat those missing values ? Should I replace those with zeros or just simply delete years in which ...
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1answer
97 views

Data sources for historical Eurex settlement option prices

I am looking for long history for historical settlement option prices at EUREX. This seems to be more challenge than I could imagine. Eurex themselves doesn't offer that data unfortunately (they only ...
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2answers
56 views

How to test the CAPM empirically and how do I use this Kenneth French dataset?

I'd like to test whether CAPM holds. My guess is that I first need to find a market portfolio. Then, over some period, I calculate its excess return $R_M - r_f$. Then I calculate the return of some ...
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28 views

amount of data - option pricer calibration

A practical question. When you calibrate an option pricer (whatever the model is), do you use data from several days or just one day (last trading day)? I noted some papers use data from one single ...
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2answers
298 views

Mapping I/B/E/S to Compustat via 6-digit CUSIP

I am trying to link Thomson Reuter's I/B/E/S dataset with Compustat. Both I obtained via WRDS. The only halfway useful info I could find was on a two year old forum post, which suggests to go through ...
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0answers
32 views

How to handle database updates for splits/dividends?

I'm finding it an difficult task to maintain a database of stock prices. My main problem is how to efficiently handle splits and dividends. Is it better to handle this in a database with adjusted ...
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3answers
267 views

Appropriate way to normalize Bollinger Bands?

I am playing around with using neural nets to make predictions on market trends. I am currently feeding in a portfolio of historical data of many stocks, and am now implementing several technical ...
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32 views

Bond data: finding a suitable outlier detection method

Me and my team has recently bought access to market data for sovereign bonds from Latin America countries. We are interested in finding a suitable outlier detection method to detect eventual errors in ...
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30 views

Paid, but affordable, provider of security data (ISIN, asset class, sector etc.)?

I'm working in a small startup and we're looking for an affordable provider of a comprehensive database with security information (ISIN, asset class, sector etc.). We're also looking for ...
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73 views

Can anybody help me understand this forward exchange rate data?

Bank of England provides data on forward exchange rates. I am a bit confused of what it means. Does a forward rate of 1.2883 in 26 June 17 (highlighted in red in the image) mean that in 26 June ...
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66 views

Historical Data on $/euro forward exchange rate?

Can anybody tell me where I could find historical forward exchange rate data between the dollar and euro? Thanks!
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53 views

MAU YoY Growth Rate to understand momentum

What's the best way to see a company's growth momentum? With the expectation that there's usually momentum that carries through to the next year (for example, they launched a product that will bear ...
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1answer
655 views

Real-time limit order book data of desired depth

Is it possible to get real-time NASDAQ limit order book data feed somewhere? I would need a stream of the limit order book data, preferably something similar to: Along with the respective events ...
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1answer
72 views

Dividend Yield Goyal and Welch (2008)

Following the Goyal and Welch (2008) stock return predictability data, does anyone know how they calculate the dividend yield from the dataset that they provide on Amit Goyals website http://www.hec....
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38 views

WRDS CRSP sql schema documentation

I'm accessing WRDS CRSP directly in python using raw_sql. Using ...
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0answers
120 views

AAA BAA UK corporate bond data?

I have seen lots of examples of US data on corporate bonds. However, I was wondering if there was a UK equivalent of the Moodys AAA, BAA spread.
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1answer
97 views

Where can I find historical data for Europe listed ETFs?

I'm currently working on building a portfolio optimization tool for European ETFs such as: (SYMBOL/ISIN/description) IQQF / IE00B0M63730 / iShares MSCI AC Far East ex-Japan UCITS ETF EXW1 / ...
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1answer
125 views

(Self studying) Finding data on Bloomberg

I apologize for asking this very simple question, but I was reading through this chart for the first time, and I would like to know where on Bloomberg can I find data like these, since I have to price ...
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1answer
144 views

Download bond yields R

I need to download bonds yields using R. I tried, as usual, I did for stocks: spc <- new.env() setDefaults(getSymbols,src="FRED") getSymbols("^AT0000386198", env = spc, from = "2010-01-01", to =...
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2answers
408 views

Why don't data sources use ISIN instead of symbol?

I've been messing around with stock data off and on for a year or two and just recently found out about the ISIN. Up until I found some data from Siblis Research, none of the other data sources used ...
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57 views

shortsqueeze.com

Does anyone have experience subscribing to shortsqueeze.com, and if so, how would you rate it? I sent a couple emails to their support, but haven't even gotten back a response and it's been about a ...
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55 views

Source for GICS sector / industry data of MSCI indexes

I'm looking for a data source that provides me with industry sector data (GICS) for each of the constituents of the MSCI indexes (e.g. MSCI World, EM etc.). Thanks!
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30 views

Is there any standard test data for diversified and non-diversified portfolio?

Is there any standard test data for what is considered a diversified portfolio and non-diversified. I want to compare some metrics between a diversified portfolio and non-diversified portfolio. It is ...
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Transform 24hr cumulative volume to sampled periods

I have a Python Dataframe with cryptocurrency data that has three columns: time, 24hr volume and price. The time is the time at which the data was received from the exchange, price is the last price ...
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139 views

Free Intra-day futures data API?

Does anyone know of a free or very inexpensive intra-day futures data provider? I know there a quite a few of them for equities (Alpha Vantage, google etc) but can't seem to find any on the futures ...