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.

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In how many ways can time endogeneity be defined?

In the literature many papers such as Wenhao Cui take into consideration the problem of time endogeneity. Is it correct to define time endogeneity uniquely as having nonzero correlation between ...
XY0's user avatar
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How to download the record of firms included in the SP100 index?

I need to download a dataset that describes the constituents of the SP100 index over time. I have an account on WRDS and hence I can get the constituents of the SP500 fairly easily, but it seems that ...
Raul Guarini Riva's user avatar
2 votes
3 answers
244 views

Replicate Shiller's CAPE index

So Robert Shiller used to update his CAPE index file monthly. It seems that he stopped doing so in September 2023. Here's the link: http://www.econ.yale.edu/~shiller/data.htm To compute this index he ...
phdstudent's user avatar
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What are some good resources for data cleaning/preprocessing considerations when handling price data?

I have a few questions on how to clean/preprocess financial time series data. Are there any sources that can help with this? The questions are: How should I adjust the data to deal with price changes ...
wwjwjwjwj's user avatar
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0 answers
27 views

Accuracy/Quality of financial data: revised financials or historical financials?

I am currently working on calculating financial metrics, particularly Free Cash Flow to Equity (FCFE) etc., for investment analysis. In the context of financial analysis, I'm wondering which set of ...
Dominik's user avatar
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44 views

FREE historical limit order book tick data with decent depth

This is for academic purposes. I am trying to find tick data with depth and type of order execution, i.e. MO, LO, cancellation etc. for equities and or indices like SPY that is FREE. It does not have ...
Xerium's user avatar
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1 vote
2 answers
57 views

Historical data components of S&P 1500

I am doing some research about market microstructure and for this reason I need the historical data of stock symbols included in the S&P 1500 Composite Index. Namely, I need to know which stock ...
Jonny's user avatar
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2 votes
0 answers
52 views

Where to get crypto data without survivorship-bias (delisted coins accounted for)? [duplicate]

What are folks using for their crypto data needs. I am looking for a provider of Crypto data - free of survivorship bias and should at least have the top 20 coins historically. As this research paper ...
masterpiece's user avatar
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51 views

Data separation for Time Series Models? (both Statistical and ML)

I had a big question about data slicing for Time-Series model fitting. In university, since I wasn't a stats major, so I didn't do much model fitting for data, other than my ML class, and have ZERO ...
matthewzz's user avatar
4 votes
2 answers
628 views

Highest resolution of stock data?

Out of curiosity, I'm wondering what the highest resolution of stock data there is out there. Is there stock trading data for every nanosecond, picosecond, or even lower? And how is this limit ...
BeefJerky's user avatar
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Explanation for a Data from Treasury Direct

I am dealing with a treasury data from TreasuryDirect. Due to the lack of documentation, I am having a hard time understand the meaning of the variables. It would be great help if anyone can share any ...
leeway00's user avatar
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Where can I get free FX options chain data [duplicate]

Basically title. Can either be through an API or easily downloadable as a CSV file. Every source I find either have options chain data but not for FX, has historical FX data but not an actual chain ...
Xerium's user avatar
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55 views

Cleaning data before fitting the Heston SVM

This is more of a generic question regarding data cleaning. I have implemented the Heston SVM, and I am attempting to fit it to some historical option data. With simple cleaning of the implied ...
Valter's user avatar
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0 votes
2 answers
132 views

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 ...
hyg17's user avatar
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0 answers
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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 ...
Sharul's user avatar
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0 answers
49 views

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 (...
Convoxity's user avatar
1 vote
1 answer
62 views

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 ...
apt45's user avatar
  • 213
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0 answers
45 views

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 ...
Lmnop's user avatar
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5 votes
1 answer
184 views

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 ...
Charles Pehlivanian's user avatar
2 votes
1 answer
56 views

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 ...
Martin132's user avatar
0 votes
0 answers
63 views

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 ...
Jane's user avatar
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0 answers
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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 ...
atlantic0cean's user avatar
2 votes
1 answer
224 views

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 ...
cocode's user avatar
  • 21
3 votes
1 answer
78 views

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) ...
hungnguyen9's user avatar
0 votes
1 answer
83 views

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 ...
KaiSqDist's user avatar
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1 answer
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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" ) ...
Daryl's user avatar
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0 answers
64 views

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/...
Rsika's user avatar
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1 vote
1 answer
140 views

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 ...
jackRoark's user avatar
0 votes
2 answers
121 views

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 ...
TylerD's user avatar
  • 101
0 votes
0 answers
365 views

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 ...
Menander's user avatar
1 vote
1 answer
192 views

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 ...
lithium123's user avatar
0 votes
0 answers
37 views

"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 ...
TylerD's user avatar
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0 votes
0 answers
19 views

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 ...
GPUMan's user avatar
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1 vote
0 answers
76 views

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 ...
worldCurrencies's user avatar
4 votes
1 answer
1k views

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 ...
apt45's user avatar
  • 213
5 votes
2 answers
543 views

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 ...
Medan's user avatar
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1 vote
0 answers
51 views

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/...
Medan's user avatar
  • 479
0 votes
1 answer
379 views

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 ...
MaryM's user avatar
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4 votes
1 answer
475 views

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 ...
Francesco Mantovani's user avatar
0 votes
1 answer
572 views

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 ...
ohRyZze's user avatar
-1 votes
1 answer
81 views

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 ...
Allan Xu's user avatar
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0 votes
0 answers
65 views

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 ...
Noah Verner's user avatar
0 votes
0 answers
42 views

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/...
Data_Artist's user avatar
0 votes
0 answers
64 views

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?
Doreen's user avatar
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2 votes
0 answers
127 views

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 ...
the_brass_bottle's user avatar
1 vote
1 answer
138 views

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 ...
limestreetlab's user avatar
0 votes
0 answers
120 views

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 ...
Sam's user avatar
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1 vote
2 answers
353 views

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 ...
Matteo's user avatar
  • 13
0 votes
2 answers
226 views

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 ...
intuition's user avatar
1 vote
2 answers
615 views

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? ...
Dylan Kerler's user avatar

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