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.
500 questions
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what is the best academic dataset for returns of European stocks?
what is the best academic dataset for returns of European stocks? what are their identifiers? I know Factset. is there other datasets?
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How many orders does a big exchange receive in a trading day?
How many orders does a big exchange receive in one trading day in their most traded asset?
E.g. how many orders does Nasdaq receive for AAPL in one day?
I am interested in a rough estimation and can't ...
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Stock screener for US stocks - yahoo API
I am trying to create simple stock screener in python for all US stocks (yahoo API). Due to the large amount of data even ThreadPoolExecutor does not work. What do you propose I could use?
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Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook - replacement
One of the main aggregate datasets for historical returns on different assets classes (the Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook) is being discontinued. Source: https://www.kroll.com/...
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Real-time data for option on Taifex
Some time ago I used the link and was able to use the bid- and ask-price data in real time. In particular, the ref provided information on the TХO contract on the Taiwan Exchange.
Question: is there ...
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71
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Estimating Parameters for a Jump Ornstein-Uhlenbeck Process from Positive and Negative Order Flow Time Series
Question: Estimating Parameters for a Jump Ornstein-Uhlenbeck Process from Positive and Negative Order Flow Time Series
I’m working with a model of buy and sell order flows that are described as ...
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90
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Nelson-Siegel-Svensson: question regarding data format for fitting the model
If I want to fit the Nelson-Siegel-Svensson (NSS) model to a set of spot, forward, or discount rates, my intuition says that the data should of course be in percentage form.
For example, I should use $...
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JKP data and French library data [duplicate]
I am currently using the JKP factor dataset (https://jkpfactors.com/) to test a large number of factors.
Their data has information on 153 factors, but no CAPM beta.
This dataset only supports returns....
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Seeking Best Methods to Identify and Analyze Sharp Trends in Stocks and Currencies Using Python
I have basic proficiency in Python development and I'm interested in analyzing the relationship between certain parameters and sharp changes in stock and currency trends. What are the best methods for ...
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How can you explain the substantially lower trading volume shown in IBKR?
I am using IBKR API to download historical data. The trading volumes are always substantially lower than from Yahoo Finance and Nasdaq.com, often lower by 50%. It is impossible to be explained by ...
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using a normalized formula from a book but not getting the correct values
I'm attempting a normalization formula (seen in the picture) but I'm not getting the result of 0 and 1. Instead I'm getting values greater than 1 and less than 0 (seen in the other picture).
I wrote ...
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How To Get Morningstar Unique Stock IDs
I have been trying to extract every piece of information I can from Morningstar's Investor platform and save it offline for free to integrate for a different use case;
I have figured out how to ...
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535
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Get bonds data in python [duplicate]
Anyone knows a way of getting trustworthy bonds data in python? I know that for stock there is yfinance package but it doesnt include bonds.
Thx
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Index reliability/source for yahoo finance
I had a small question regarding the reliability of the data on Yahoo Finance, I know that this source is full of flaws but it has the enormous advantage of being free.
I had a question regarding the ...
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Looking for good data source for back testing and Monte Carlo [duplicate]
Does anyone know of a freely available data source that will have American and foreign stocks, mutual fund, and ETF info including stock's histories of paying dividends, PTB and PTE ratios, as well as ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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293
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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 ...
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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 ...
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71
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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160
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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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375
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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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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 (...
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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 ...
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341
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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 ...
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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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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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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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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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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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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 ...
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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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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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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 ...
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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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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 ...
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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 ...
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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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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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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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680
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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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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/...
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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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