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What does it mean when an optimistic return forecast was due to "data mining"?

The success of backtesting supports the prediction that an adaptive trading strategy fares better than using fixed rules. It also suggests that the positive results in the literature are not due to ...
David LE's user avatar
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0 answers
23 views

Where to get 13F data in excel format?

I am trying to do a project and analyse 13F data from some most followed fund managers or individuals (e.g. Michael Burry). However, I couldn't find anywhere where I can get the data in a properly &...
Kai's user avatar
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1 answer
159 views

Where to find historical data on corporate credit ratings

I am looking for a parsed dataset with historical data for company credit ratings. I know NRSROs need to make their historical data public. I found Moody's (https://ratings.moodys.com/sec-17g-7b), S&...
Niki Karaolis's user avatar
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0 answers
33 views

Equities: API or Python Historical Fundamental Data Source [duplicate]

All of my API sources have gone down/gone premium/don't provide sufficient data. Does anyone know any sources (paid or free) where I can extract extensive income statements, balance sheets, etc. for ...
Luke's user avatar
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1 vote
0 answers
88 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
3 votes
1 answer
525 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
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0 answers
42 views

Is this pattern for high trade prices in the NKE NYSE data correct?

The question is whether the pattern described here actually exists in the NYSE historical data for NKE (Nike). In over 63% of cases, HighTradePrice achieved between ...
Chris's user avatar
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1 vote
1 answer
809 views

Using Quandl Continuous Contracts

I am trying to use Quandl data futures for backtesting some trading scenarios, specifically Wiki Continuous Futures. Following the documentation, I understand that the data-set contains continuous ...
MariaMadalina's user avatar
1 vote
0 answers
25 views

Where to find a list of all the operable exploration / mining companies conducting operations in Canada [closed]

Looking to create a database firstly of all the exploration / mining companies conducting research in Canada. TSX and TSX-V have very nice spreadsheets with several filtering operations, which is very ...
Raboush2's user avatar
0 votes
1 answer
51 views

Comprehending Corr heatmap from multiple trials of investment strategy (Paper)

Can someone please explain the heatmap of Corr from backtests in this research paper ? A Data Science Solution to the Multiple-Testing Crisis in Financial Research - Lopez De Prado (2019) - (Exhibit #...
Jimboi's user avatar
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1 vote
0 answers
58 views

What can one do with cross-sectional relationships? [closed]

This is somewhat of a broad question, but I think we all would like to find signals that predict something in the future. However, often times, we are just left with cross-sectional relationships (...
confused's user avatar
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1 answer
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Unsupervised learning for portfolio construction

Are there techniques or models in finance that (unlike supervised learning where input data such as returns and volatility is estimated making the asset allocation data-driven) allow for portfolio ...
develarist's user avatar
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1 answer
47 views

How do you build a model with uncertain time range?

Let's say you want to test the hypothesis that given a signal reaches some threshold, some asset will have some return over the next period. Here we have two unknowns. One, the value of your ...
confused's user avatar
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0 votes
1 answer
168 views

How Can I Use Python and Data Science in my Personal Trading? [closed]

I started learning about the stock market during the Pandemic. I don't necessarily think to be a quant but I'd like to atleast use my skills in programming in python, data visualization, (i don't ...
Benj Cabalona Jr.'s user avatar
1 vote
0 answers
301 views

Process Transforms (Fractional Difference)

Let's say I have a process $X_t$ with unknown variance process $V_t$. Then, I write $\mathrm{EMA}[X_t]$ to be the 5 sec exponential moving average of $X_t$. Consider the transformation $$\sum (X_t-\...
NEO ULTRA's user avatar
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3 answers
2k 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.
kban's user avatar
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2 votes
2 answers
946 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 ...
kban's user avatar
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1 vote
1 answer
3k views

Difference between cross-validation, backtesting, historical simulation, Monte Carlo simulation, bootstrap replication?

To determine if a strategy is better than others, or to optimize the parameters of a model, the following statistical techniques are often employed, often one over the others instead of altogether. ...
develarist's user avatar
  • 3,000
3 votes
1 answer
144 views

Aggregating quotes data for different time frames

I need to aggregate data for a higher time frame. I have data for 1 min time frame as follows ...
user1514042's user avatar
1 vote
0 answers
112 views

Framework for analyzing transaction history

After many years of being discretionary trader I'm finally moving to systematized trading. I have all the transaction history from my broker I want to be the basis of my models. Is there a framework ...
kambi's user avatar
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1 vote
0 answers
81 views

Why does an increase in eviction court filings result in an increase in REIT returns?

I'm a data mining developer working for a company that wholesales eviction record data on a national level. I was recently assigned a project to build a program to mine all county courts in Oklahoma ...
FX_NINJA's user avatar
  • 500
1 vote
1 answer
127 views

unsupervised pattern discovery - methods?

Given that I select features manually, what methods are available for pattern discovery with the purpose of time series prediction (footnote)? I only stumbled upon hierarchical clustring ("bottom-up"...
Xpector's user avatar
  • 275
1 vote
0 answers
264 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 ...
JoaoBotelho's user avatar
1 vote
3 answers
4k views

How to convert weekly data to monthly in r (or in Julia)

I have weekly series on financial risk index data as follows: DATE NFCIRISK 1/8/1971 0.58 1/15/1971 0.61 ......through 10/6/2017 -0.88 10/13/2017 -0.89 10/20/2017 -0.89 ...
Adrienne's user avatar
11 votes
3 answers
6k views

Determine trends of data (direction detection or turning point detection)

I'm working on a model to determine trends (direction detection or turning point detection). Suppose that we have a stock trend which is illustrated below. Blue line is real trend of stock close ...
user2991243's user avatar
4 votes
1 answer
5k views

Map CUSIP to CIK

I'm trying to analyse 13F filings and those provide CUSIPs and names. I hoped the names would be sufficient to find the relevant Edgar filings but the names are often imprecise (e.g., "ABBOTT LABS" ...
John M's user avatar
  • 141
0 votes
1 answer
167 views

Markov chain downgrades in loan book modelling

I am working on a personal loan dataset. For each loan, we recorded its credit status monthly after it was drawn by the borrower. Let's say there were 6 status coded by A-F. My project is to use ...
LUSAQX's user avatar
  • 103
4 votes
2 answers
483 views

Data mining of financial time series and pattern discovery - beyond technical analysis?

There are lot of works about pattern discovery in financial time series - but all of them (known to me) are connected with technical analysis and that is field (as said by many) that is not rigorous ...
TomR's user avatar
  • 193
2 votes
1 answer
108 views

Free Data Sets for VaR calculations

I am trying to do some work on VaR and Expected Shortfall with the help of Generalized Pareto Distributions. Can someone please guide me to some dataset of financial data, preferably something like a ...
Deb's user avatar
  • 353
1 vote
0 answers
44 views

Feedback on Video Metadata Extraction

I've developed/patented a metadata extraction methodology, which we've used to build a variety of alternative datasets for funds. One of the more difficult issues in this field, is getting useful ...
J. Garcia's user avatar
0 votes
0 answers
276 views

How to use Chow Lin method?

Can someone give me a simple explanation of how exactly this method works. If I have a dataset of say 10 quarters (dependent variable); how should the independent variable (say monthly data) be ...
qfd's user avatar
  • 255
2 votes
1 answer
267 views

White's Reality Check versus Benjamini-Hochberg-Yekutielie Procedure

I'm backtesting about 1k different strategies / permutations of strategies and I want to identify which if any of the strategies are better than the benchmark. Based on my readings, I feel like I've ...
Tarak's user avatar
  • 41
0 votes
1 answer
488 views

list of ADR's by volume or market cap

I'm looking for a list of ADR's (for a simulation) that I can screen by either market cap or volume? If anyone knows of a free way to get such a list it would be much appreciated.
Chase CB's user avatar
  • 121
0 votes
1 answer
6k views

Is there a piratebay for data(bases)? (here, talking about historical financial data) [closed]

I would like to, for example, access (and later, upload), for example, historical financial data for the S&P500. If a piratebay for databases existed, maybe we could freely share information that ...
boulder_ruby's user avatar
8 votes
1 answer
1k views

How to better understand trading signals?

I am looking to get a better understanding of an output from a trading strategy. Basically I have a daily equity curve lets call it $Y_t$. I have defined a bunch of independent variables $X_{it}$ that ...
silencer's user avatar
  • 1,553
14 votes
1 answer
712 views

Can we use White's reality check to compare two Sharpe ratios?

I read a paper from Ledoit and Wolf that proposes a method to compare two Sharpe ratios and a paper from White that proposes a method to compare $n$ trading rules. My question is: Can we use White's ...
rich's user avatar
  • 141
52 votes
6 answers
9k views

Which approach dominates? Mathematical modeling or data mining?

According to my current understanding, there is a clear difference between data mining and mathematical modeling. Data mining methods treat systems (e.g., financial markets) as a "black box". The ...
Roman's user avatar
  • 529
16 votes
4 answers
2k views

How to encode trading strategies mathematically

If you have a bunch of different econometric data (e.g. indexes, FX, commodities, interest rates...) you can try to find a formula to see if there is any relationship in the data - e.g. to forecast ...
vonjd's user avatar
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