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
2
votes
2
answers
143
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List of public US (NYSE, Nasdaq) companies that filed for bankruptcy in the last 10 years
I am working on a Data Science project on bankruptcy prediction. I am looking for a list of listed US companies that filed for bankruptcy in the last 10 years but I am really struggling to find any ...
- 141
0
votes
3
answers
168
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Affordable NASDAQ/NYSE Tick-By-Tick
I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a ...
- 136
1
vote
0
answers
48
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How to use pivot points for a sell/buy order?
I have implemented some trading strategies like macd and sma. When the lines are crossing they give a sell or buy signal.
Now I have calculated pivot points of one day
...
- 111
0
votes
1
answer
413
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Are there any public LIBOR Data sources?
I am looking for 1 and 3 month LIBOR rates available through an API. I am familiar with the rates available on FRED, but they are only available with a 1 week lag. Unfortunately, I'm looking for no ...
- 1
0
votes
0
answers
55
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transforming variables
I am would like to create a regression model with different variables however before using these variables in my regression model I would like to transform the variable in order to make it more ...
- 339
1
vote
1
answer
321
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Any database with all of companies previous CEO's?
I'm doing some research on CEO's and company chairmen and I'm looking for a database that contains this data for all the public US companies. The data needs dates associated with the names as well. I'...
- 4,368
2
votes
5
answers
4k
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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 ...
- 266
1
vote
1
answer
1k
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Pull IDX stocks with alphavantage?
How do I pull data for stocks on the indonesian stock exchange (https://www.idx.co.id/en-us/market-data/stocks-data/list-of-stocks/) with alphavantage? What is the symbol I should pass? I've tried for ...
2
votes
1
answer
512
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Empirical bivariate copula when one variable is restricted
I am trying to find the empirical copula linking two random variables $X$ and $Y$.
I have some data available but it's limited with respect to the variable $Y$ and I am not convinced it's enough data ...
- 3,090
-3
votes
1
answer
63
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Why no stock's amount data on us stock market?
In chinese stock market , every stock's traded volume and amount (price * volume) data was disclosed.
Why in us stock market no amount data disclosed?
There must be such 7 fields as ...
- 2,972
37
votes
7
answers
25k
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Usage of NoSQL storage in Finance
I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data.
I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ...
- 103
0
votes
1
answer
181
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How to deal with missing stock returns?
If I want to calculate the Covariance between two stocks but there are missing days in both, how can I deal with missing data? I want to use Pairwise deletion and only use the days of which both ...
- 2,972
0
votes
0
answers
141
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Using a rolling mean or median to fill missing values
I have some 1-minute bar data. The first datapoint has time t0 and the last one t1. 99.5% of the data between the first timestamp and the last timestamp is there and 0.5% is missing (NaN values). I ...
- 472
8
votes
7
answers
3k
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Do quants need to know Accounting?
Do quants need to know Accounting?
In my school's undergrad Quant program, we had Financial Accounting and Managerial Accounting, which were listed as prerequisites for our undergrad Finance subjects.
...
- 935
6
votes
2
answers
7k
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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/...
- 31
1
vote
1
answer
63
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Is there a noticeable difference in making scatter plots and regression models with tick-data or with candle data?
I am asking this question because I want to research some variables. An example is the RSI where the current RSI is updated every tick. This means that the value of the RSI is fluctuating a lot inside ...
- 2,214
0
votes
1
answer
2k
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How to download all stocks from NYSE, AMEX and Nasdaq from CRSP without entering individual company codes?
I was wondering if there is an efficient way to extract data on all the stocks from the CRSP dataset?
In the Query Form I only have the option to enter company codes individually or to upload a .txt ...
- 16.3k
4
votes
1
answer
6k
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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" ...
- 131
10
votes
4
answers
12k
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Where can someone get free (or very cheap) high frequency tick forex data?
I am currently working on a large data set (approx 80 million data points over 10 years). I would like another set of data that has one currency in common. Eg, I have EUR/USD and would like USD/CNY or ...
- 11.8k
0
votes
1
answer
130
views
aggregate and convert tick-by-tick using fx data
I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
- 2,214
0
votes
1
answer
327
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Credit Migration Risk
I have a problem in which I have been given data for two periods over a set of customers.
Each set consists of the fields: ID, rating, PD, LGD, Exposure (on- and off-balance sheet exposures), EAD, RWA,...
- 31
14
votes
1
answer
5k
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Volume or Dollar bars vs. volatility normalized and demeaned financial time series
In his book - Advances in Financial Machine Learning, Marcos Lopez de Prado familiarises the reader with a number of ways of normalizing our financial time series data. Below I provide a couple of ...
- 305
5
votes
3
answers
9k
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Source for real-time tick data (stock price, etc.) updated every second?
For educational purposes, I'm looking for a source for now's real-time tick data for stock prices, or FOREX, etc., with a 1 second precision.
Is there such free data feed?
If not, could such data be ...
1
vote
2
answers
788
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Can I download today's open/close/high/low data for all stocks (in bulk)? [duplicate]
EDIT: Regarding the [duplicate] designation: I carefully checked all the sites listed in the Equities and Equity Indices section of What data sources are available online?. I was not able to find ...
- 111
0
votes
0
answers
31
views
Why would this price data have lots of spikes above the trend line?
I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ...
1
vote
0
answers
235
views
Literature on realized volatility and sampling frequency?
I was looking for some papers that explicitly show how realized volatility changes as we change the sampling frequency. For example, comparing the annualized volatility estimated from daily data is ...
- 11.8k
2
votes
2
answers
2k
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Reliable stockmarket holiday, open and close time dataset/api?
Is there a reliable machine readable source of stock market holiday calendars?
I found this source: https://eresearch.fidelity.com/eresearch/markets_sectors/global/holidayCalendar.jhtml
I could ...
1
vote
2
answers
141
views
How to find/calculate daily S&P500 dividends?
I need a time series with daily dividend data on the S&P500. I understand most dividend data is on a quarterly basis but I'm looking to model short-term effects of COVID-19 on dividends so I need ...
- 518
6
votes
4
answers
7k
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Where can I find open swaption implied volatility data?
Anyone have a good place to find interest rate swaption implied volatility data? Does Bloomberg's python API allow access?
- 21
5
votes
2
answers
1k
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How to make a trading universe of liquid futures contracts
I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being ...
- 2,705
5
votes
2
answers
7k
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How to get a Daily Market Cap using Python
I'm looking for a way of getting free historical daily market caps ? I can get todays Market cap from yahoo but need old market caps also.. thanks for the help.
ps: I don't have Bloomberg and school ...
- 4,368
-1
votes
1
answer
1k
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Compound the monthly returns to make them quarterly [closed]
How can someone make the Kenneth French library data returns quarterly from monthly? Since they are not loq returns, then you need to compound returns rather than summing them up. I want to make the ...
- 3,661
1
vote
0
answers
50
views
Which strategy did the fund most likely follow?
The following time series represents the return stream of a real hedge fund. Which
strategy did the fund most likely follow?
I did this data superimposition on Matlab. So, there should be some data ...
- 111
0
votes
0
answers
940
views
Download historical MSCI/GICS Sector Index data
Similar to Where do I get historic performance data of the MSCI World Growth/Value index, I'm looking for historical data for the MSCI Sector Indexes (Energy, Material, Industrials, Financials and so ...
- 101
0
votes
0
answers
183
views
Is Morningstar data reliable?
Wondering if Morningstar financial statement data reliable?
For example it doesn't have the Balance Sheet statement for BHP, while Marketwatch has it.
Same for Renault SA the Balance Sheet is ...
- 251
0
votes
0
answers
38
views
Where to get the "total" dividend (for a specific stock) from?
I´m trying to build a Stock ranking/Picking model sorted by some kind of score.
For this I need the total dividend by Stock, let´s say for AAPL and FCAU
I have been checking several financial sites, ...
- 101
1
vote
1
answer
285
views
Downloading all stocks of an index from CRSP
I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly?
...
- 193
3
votes
1
answer
181
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TeaFile discrete logic - how to write [closed]
I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file.
Let's take this example:
...
CommunityBot
- 1
2
votes
1
answer
235
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Discrepancy in stock volume values for different intervals for the same day on Yahoo Finance
everyone.
Probably, someone else before me noticed that peculiar behaviour but I have not found any thread with a relevant title.
Anyway, here is the case. I have attached a screenshot which displays ...
- 4,368
1
vote
1
answer
286
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How can I most efficiently deduce Renaissance Technologies' changes?
The Motley Fool, Nasdaq and Yahoo Finance all were able to deduce RenTech's purchases of cannabis stocks.
I can see RenTech's quarterly reports on EDGAR, but they don't list changes. How can I ...
- 1,549
1
vote
1
answer
126
views
IPO data source (NYSE / NASDAQ)
I am trying to get data for results of IPOs that took place on NYSE and NASDAQ in 2015-2020. My minimal need is:
Date of IPO completion
Company name or ticker (better yet, both)
Total US$ amount ...
CommunityBot
- 1
1
vote
0
answers
391
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 ...
CommunityBot
- 1
4
votes
3
answers
7k
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VIX intraday data
Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I ...
- 266
0
votes
1
answer
506
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Where can I find data about Options for Europe (entire dataset)?
I need to get data about the entire dataset (i.e. all) of options for European countries. Where can I do that?
For example, if I had to do it for US options, I would just use WRDS (to which I have ...
- 5,895
0
votes
4
answers
2k
views
Where to find sample intraday data? One to two days or more
I'm looking for some intraday stock data. Doesn't really matter what kind of security... I'm just looking for price, volume, bid, and ask. I'm looking to test a model based on the dynamics and ...
- 266
0
votes
0
answers
42
views
I need to get data about tulip price between 1936-1937
I need to daily data for Tulip Price between 1936-1937. How can I find? Please help.
- 4,368
3
votes
3
answers
2k
views
Ledoit-Wolf Shrinkage estimator not giving positive definite covariance matrix
I used ten year daily data for 407 stocks and computed the daily and monthly covariance matrices. Since I have more variables than observations for the monthly matrix, I wasn't surprised to find the ...
- 141
2
votes
1
answer
574
views
Is there an API that can return the current market cap of a publicly-traded company?
I am trying to find an API which will return the current market cap of US stocks for a financial data visualization project, and I haven't had much luck finding anything. Preferably, I'd like to have ...
- 241
0
votes
0
answers
999
views
Excel formula for Laplace distribution
I am trying to create a forecast model, projecting the number of passengers through an airport over a period of time (daily, weekly, and monthly). I've already used Excel's FORECAST and POISSON ...
2
votes
0
answers
67
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Data sources for historical ICE settlement option prices, volume & open interest
I am looking for long history for historical settlement option prices, volume & open interest at ICE Europe (specifically fixed income). This seems to be more challenge than I could imagine. ICE ...
- 151