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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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How to download historical prices of all companies listed in a particular stock exchange including delisted?

I’m straggling to download historical data for my masters thesis. I need to download historical daily prices (only one per day e.g. adjusted close) of all companies listed in a stock exchange, ...
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21 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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34 views

Where to download list of all stocks ever traded on NYSE, NASDAQ and AMEX?

Trying to find the full historical list of stocks ever traded on NYSE, NASDAQ and AMEX. I know that NASDAQ has an FTP Server with lists of stocks they trade, as well as on other exchanges. But to my ...
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14 views

What sources of online social data could be useful in quantitative finance?

Research by Tobias Preis and Suzy Moat over the years has looked into how online social data such as Google Trends may be useful in quantitative finance. See the article on Quantifying Trading ...
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1answer
28 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
58 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
70 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
54 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
107 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
135 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
106 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
67 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
190 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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26 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
133 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
56 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
73 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
82 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
43 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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0answers
26 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
193 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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29 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
211 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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27 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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29 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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67 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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58 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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41 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
514 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
68 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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31 views

WRDS CRSP sql schema documentation

I'm accessing WRDS CRSP directly in python using raw_sql. Using ...
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0answers
107 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
81 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
116 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
114 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
292 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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54 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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42 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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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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116 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 ...
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21 views

Estimating trading flows from limited sample

I've come across a database of the top 10 highest traded stock and corresponding volume (buy and sell) by certain brokers (comprising on average of 30% of market, and up to 80% of certain stocks), and ...
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38 views

Sentiment classification - Commercial annotation services for market/trading/financial news sentiment

This question might well be off-topic (in that case I'd be grateful if someone could point me in the right direction). I'm looking for services (similar to Amazon Mechanical Turk) that could aid with ...
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88 views

Any databases with CEO letters and shareholder letters?

I am researching disclosures on CEO letters and Shareholder letters present in annual reports of listed companies in the London Stock Exchange. Can someone recommend a database where the annual ...
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16 views

What is the best data range for calculating Risk Premiums for Market, Size and Value?

In French's website where he posts data, his data goes back to 1926. http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html In Fama French's paper "The equity risk premium" they ...
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2answers
241 views

Retrieval of MSCI factor index performance data from the web

I hope this question is on-topic. What is a convenient way to get MSCI index performance data from the web? I would be interested in daily performance data of the factor indices momentum, minvol, ...
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72 views

FTSE 350 sector index historical data

Does anyone know where I can find (at least 10 years worth of) end of day historical (op, hi, lo, cl) data for the FTSE 350 Sector Indices?. I need the data for ...
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125 views

List of US Industry sector ETFs that map to ICB classification

I am in the prcess of carrying out intra-and intra sector analysis of US stocks, and am proxing sectors with sector ETFs. I therefore, need to catalog the list of US sector ETFs - but have been unable ...