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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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18 views

high quality daily data [duplicate]

I am analysing some trading strategies, so lots of high quality data is needed. I have been using yahoo finance which provides a lot of high quality daily data on stocks and indices. Currently I am ...
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1answer
46 views

Estimating monthly GDP growth based on quarterly data

Apologies for this newbie question. Given the following quarterly GDP growth: ...
14
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3answers
1k views

Effective Euro-USD (EURUSD) Exchange Rate Prior to Euro's Existence

Motivation: I am running a quantitative analysis that requires long-term, exchange rate data. Problem: Does anyone have methods for dealing with the EURUSD exchange rate prior to the Euro's existence?...
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2answers
1k views

Where can I get historical ticker change database?

There's 30 days worth of data at http://www.otcmarkets.com/marketActivity/symbol-changes - but I'm really looking for the past 10 years, or 5 years if only that is possible. Any dice? The closest I'...
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3answers
4k views

Python code to download historical firm data

I am looking for a Python code that scraps a website to download historical firm data such as market capitalization, dividend-yield, and so on. I have a code that downloads the current firm data from ...
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4answers
136 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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0answers
33 views

How to work with vine copula in R?

I have returns of 4 stocks: stock1, stock2, stock3, stock4. And I use R and library(VineCopula) to do: ...
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0answers
47 views

API returning company tickers found in provided news article

I'm looking for a REST API (paid or free) that accepts a string containing a news article (example below) as payload and returns an array of company tickers (eg TSLA for Tesla) mentioned in the ...
12
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4answers
3k views

How to download all 10-K reports for all companies listed on S&P 500?

I am doing a regression analysis of all companies listed on s&p 500. It requires their 10-k reports. Where can I download all of them once?
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1answer
47 views

Generate scenarios of multiple related parameters

Assume I have three industry datasets: interest rates, inflation and unemployment. Data contains information of last ten years and it's monthly. Now, I would like to create N possible scenarios of ...
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2answers
76 views

where to download current composition of popular indexes?

What are reliable sources to download plain-text files listing current composition of various popular indexes such as S&P 500 (SPX) or Dow Jones Industrials (DJI) or Nasdaq 100 (NDX) ? At a ...
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1answer
43 views

ETF performance/returns

I was going over some ETF return data on yahoo finance and encountered some numbers that did not make sense to me. The image below shows a ytd return of 17.94% and 13.52%. I checked ETF.com and ETFdb ...
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1answer
106 views

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 ...
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2answers
4k views

Is Yahoo! Finance data good or bad now?

I have read various blog posts and reddit threads and so on talking about the recent changes to the Yahoo! Finance API and it leaves me very confused. I'm confused about what has changed. Supposedly ...
2
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1answer
373 views

CBOE Index Minute Data

I am doing a small research and looking for a place to purchase historical minute CBOE Index data. I am interested in: VIX - CBOE Volatility Index VVIX - CBOE VIX VOLATILITY INDEX VXV - CBOE VIX ...
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4answers
9k views

Free intra-day equity data source

Are there any free data source for historical US equity data? Yahoo finance has daily prices but I'm looking for something more granular and goes back 2 or more years (doesn't have to be close to tick ...
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29answers
197k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
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2answers
747 views

Equity short Interest data source

I'm looking for short interest data (those disclosed on 15 days basis to FINRA) As far as I know FINRA publishes only OTC data (http://otce.finra.org/ESI). Nasdaq.com contains only nasdaq traded ...
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2answers
363 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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0answers
21 views

Where can I get large dataset [duplicate]

Where can I get large unbiased dataset for all stocks in the world (and not just the historical price but also the balance sheets fact and ratios). By unbiased I mainly mean to: 1. not being ...
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5answers
564 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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4answers
4k views

Place to get free live Forex quotes via API?

Are any free Forex data APIs available? There are a ton of historical data repositories that are freely available but what about a live, streaming data API? 1 minute updates or tick data would be ...
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4answers
1k 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 ...
2
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1answer
100 views

Data: Why is a firm stock delisted?

Shumway (1997) highlights that stock returns in cross-sectional portfolio analysis have to be adjusted for firm delistings. The CRSP database maintains a monthly delisting file (msedelist) with ...
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0answers
18 views

Termstrc data preparation from Bloomberg terminal

I am trying to use the R package termstrc to estimate yield curves for the Czech Republic. I have found the structure of the required class ...
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4answers
5k views

How much data is needed to validate a short-horizon trading strategy?

Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
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3answers
878 views

Looking for free historical EOD prices of stocks from S&P 500

I'm trying to build a database of historical stock EOD price data with no survivorship bias, primarily from the S&P 500. I have looked through numerous data sources from this website to create a ...
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1answer
100 views

Which data provider do you recommend? [duplicate]

i need to run optimization models and backtests on developed market equities. I have access to Refinitivs Eikon, but it doesnt have a backtest tool and downloading the data is a challenge on his own. ...
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19answers
18k views

Is “eoddata” a good data source?

Not sure if this is a relevant question for site, but I am looking to move to www.eoddata.com as my data source. If anyone has used it, can you tell me how the data quality is ? I am currently ...
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1answer
104 views

Loan Level Data for Residential Mortgage Backed Securities

I'm looking for loan level detail for Residential Mortgage Backed Securities. The SEC requires that form ABS-EE (individual level asset data) be filed for all offerings backed by residential ...
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votes
5answers
2k views

Which data sources are available for cryptocurrencies?

I am primarily looking for price and market cap histories for cryptocurrencies like Bitcoin, Ethereum, zcash, ... What are some good data sources and APIs where I can download history as well as get ...
1
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1answer
50 views

What preprint repositories are available online?

Besides data sources, what preprint archives are available for academics and practitioners in the fields of Quantitative Finance and Economics? I have subscribed Google Scholar alerts and regularly ...
8
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0answers
348 views

What is the most convenient data structure for backtesting a model of futures options prices?

I have an empirical model for the dynamics of futures prices in a particular market that I have implemented using a long series of the front five contracts. (I account for the roll in my model.) I ...
7
votes
2answers
937 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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7answers
1k views

When hiring a quant, how can I protect my IP?

I am a one-man operation, and would like to hire a quant for around 4 weeks or work. I am worried that the person I hire might copy my data or the indicators that I have him work on. What have ...
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5answers
4k views

List of TSX stocks with their sector and industry

Is there a website that offers free download or API where I can get an up-to-date list of all securities listed on the TSX along with their sector/industry? I could scrape individual screens for each ...
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0answers
40 views

Best database source to download large number of stock prices [duplicate]

I am wondering what databases exists where I can download stock prices from 2006 to today with the following features 1) using Python API 2) using Bloomberg tickers (e.g. AAPL US Equity) 3) free ...
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3answers
322 views

News on ETF sector performance

I am interested to find historical news (if any) associated with intraday volatility burst in a particular ETFs like ishares IYF (Financials). So say that between 12:00 - 12:10pm, the ETF IYF's stock ...
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2answers
144 views

Are there any free algorithmic economic news feeds available?

I'm looking to build a news-based trading algo and I need a live news feed for economic data. Are there are free sources available? I cannot find a single one. It doesn't have to be perfect, and I'm ...
0
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1answer
55 views

Mean Variance optimization on hourly data with gaps

I'm building a mean variance optimizer for a portfolio of FX, commodity and bond futures. The input data is hourly returns for each underlying. Given each underlying has different market opening hours,...
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4answers
1k views

Data sources for financials of global equities

I looked through the master list of data sources but could not find any data sources for financial data of global equities. An example would be the balance sheet of, say, ...
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2answers
725 views

Market data for options

Looking for recommendations on places to get market data for options. I'm looking at NYSE and NASDAQ only. My current solution is my broker, Tradeking. I can request realtime data for 700 option ...
2
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3answers
126 views

Profits of US Banks

Are there any publicly available data on [aggregate] profits for domestic US banks, especially quarterly data? Most studies that I know use the "Financial Statements of Banks" from the OECD but these ...
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votes
3answers
2k views

Automated 10-K XBRL data grab using the SEC file structure

I would like to write a program that takes as input a list of CIK/year/quarter entries. The program should iterate through the list and, for each entry, grab XBRL financial data from the SEC website ...
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0answers
31 views

Data request: Option prices for a liquid index/stock

Currently doing a course project on option pricing as a part of my undergraduate studies. However I cannot find a free dataset $D=[d_1,d_2,...,d_N]$, which would represent a time-serie of daily option ...
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2answers
80 views

Datasource of all scheduled news events for S&P 500 stocks

I am looking for a datasource which contains all news events specific to equities of the S&P 500, whose release date was scheduled in advance. That is, I am not looking for surprise news. For ...
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vote
1answer
163 views

Are Kenneth French Research Returns log-Returns?

Does anyone know if Kenneth French's return data on his website is log returns?
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2answers
1k views

Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution?

Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution ? I would be happy to buy them but everywhere prices starts from 1k $ (minimum value of order), 2016 alone would be ...
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2answers
72 views

Imputation of missing returns

I'm trying to calculate a historical VaR for a portfolio of futures, however there are certain days for which some assets are missing prices. Since the portfolio consists of many spread positions, the ...