Questions tagged [data]

Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.

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2
votes
1answer
180 views

How to adjust Geometric Brownian Motion to be monotone?

I want to use stochastic process to model subscriber's mobile data consumption as time going in a month. So I think about Geometric Brownian Motion. However, people's cumulative data consumption ...
2
votes
1answer
437 views

Where can I find ETF fund flow data?

I know mutual fund data can easily be found on CRSP or Thomson Reuters, but where can I find solid ETF data, specifically their flows?
1
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0answers
129 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 ...
1
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3answers
114 views

Given only Bid Ask and quantity Data, how do I determine whether the security price has gone up or down?

Given Bid Ask Hang Seng Index Future Data, how can I determine whether the current index future price has gone up or down relative to the last price? ...
0
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3answers
705 views

Alternative to Bloomberg Excel Add-In for EOD Stock Prices

Is there a more cost-effective alternative to Bloomberg Excel Add-In? 90% of the time I only use Bloomberg to download security (hundreds of U.S. and international stocks) historical price data. The ...
2
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0answers
87 views

FTSE 350 sector index historical data

Does anyone know where I can find (at least 10 years worth of) end of day historical (op, hi, lo, cl) data for the FTSE 350 Sector Indices?. I need the data for ...
1
vote
1answer
161 views

Interest rate models

I'm studying by myself how to model interest rates. Is there any database in which I can find accurate data for indices like Libor, Euribor, Eonia etc?
1
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0answers
172 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 ...
48
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6answers
81k views

Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?

I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in ...
2
votes
2answers
730 views

CRSP common stock only

How can I download exchange data for only common stocks (excl mutual funds, ETF, etc) on the NYSE, NASDAQ, and AMEX? I can't find a list of tickers or anything. Does anyone know a method? And does ...
1
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3answers
11k views

where can i get data for foreign exchange order flow

I need data for my thesis research on liquidity of foriegn exchange for order flow (aggregated daily) per currency traded for a period over the last 10-15 years. help!!
3
votes
4answers
5k views

Does Yahoo/Google no longer support web-scraping of FOREX data?

I use Python 3.6 to develop quantitative FOREX trading strategies. I used to use Yahoo or Google in conjunction with pandas.datareader in order to collect forex ...
0
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1answer
22 views

Possible correlations to institutional allocations versus market capitalization

I seem to remember someone telling me a while back that a good indicator of future equity performance was how "institutionally under-owned" a given equity is versus its weight in a given broad market ...
-1
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1answer
462 views

How to use exponential smoothing for trading?

I was wondering if there's a rule of thumb regarding the value of alpha used when performing exponential smoothing. I plan to use this technique to preprocess my data before feeding them into my ...
4
votes
3answers
927 views

Loading HF stock data into excel

Are there any free, open source VBA addins or R packages that can be linked using the yahoo finance/Google finance/other data sources api to continuously download intraday data into excel or R? https:...
-1
votes
1answer
433 views

Where to get historical IV rank & IV percentile data?

I thought my broker (Interactive Brokers) was offering this but looks like what they actually supply is IV / with historical realized volatility. I also checked Quandl but as this is not data for ...
1
vote
1answer
84 views

Short selling volume reports

I'm researching short selling volume data reports from NYSE, NASDAQ and BATS (Sources: FINRA + BATS website). And my question is: Why are those numbers so high? Is it really just a speculative short ...
1
vote
1answer
66 views

What information is significant in a company's 10Q?

From a quantitative point of view which information is significant, what can be ignored?
1
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0answers
94 views

Winsorization and Standardization in data manipulation

Suppose there are two time series of data, ask price and bid price in options. They are used to calculate bid-ask spread($\frac{P_A-P_B}{P_{Mid}}$). I attempt to use winsorization and ...
5
votes
1answer
954 views

Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
2
votes
2answers
539 views

Database of ETF and underlying index from Thomson Reuters or Bloomberg

I want to generate a table of ETFs listed in the US and declared benchmarks. The idea is that I want to have the possibility to use the benchmark as a proxy of the ETF to run longer backtests when ...
1
vote
1answer
1k views

Problems retrieving historical data through IbPy

I am having problems retrieving 14 days historical data from IB. I recently made the switch from MATLAB to Python so I have a lot of catching up to do. Where do I go wrong? All help is appreciated. ...
7
votes
5answers
6k views

Monthly data for popular indices (constituents).

Trying to be concise: I am interested in the most popular indices (SP500, FTSE100, DAX30, CAC40, SMI30, etc). For each index I want to know its constituents in a monthly basis. For each constituent (...
3
votes
4answers
711 views

How to get Stock Fundamental time series data?

I need key Stock Fundamentals like in http://finance.yahoo.com/q/ks?s=KO+Key+Statistics But that page shows only the last quarter data, I need to analyze how that data has changed over past years. ...
1
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0answers
263 views

What symbols to use on Google Finance and Yahoo finance OMX30

I want to download historical data using pandas_datareader for OMX30, however I cant find any symbol which can be found using pandas_datareader. For example: STO:...
0
votes
1answer
12k views

Price at Specific Time from Bloomberg

I have a file where I easily export real-time prices to excel using the Bloomberg Add-In, using the formula BDP. Is there a way to get these prices of a specific time? For example, =BDP("EURGBP ...
7
votes
3answers
5k views

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 ...
-4
votes
1answer
180 views

API to perform queries on stocks and financial derivatives [closed]

Is there a native and free API and DB to request information such as: All the companies which their P/E ratio is greater than 50 The closing prices of stock <...
4
votes
4answers
14k views

How can one query the Google Finance API for Dow Jones and S&P 500 values?

The queries for Dow Jones and S&P 500 will result in error: http://www.google.com/finance/historical?q=.INX&startdate=May+11%2c+2015&enddate=May+17%2c+2016&output=csv http://www....
30
votes
9answers
23k views

How should I store tick data?

How should I store tick data? For example, if I have an IB trading account, how should I download and store the tick data directly to my computer? Which software should I use?
9
votes
4answers
2k views

Free/cheap source of structured historical quarterly filings?

What is a good place to acquire cheap/free historical quarterly filings data for US Companies? Specifically, I'm interested in the consolidated financial statements. The data should be well-structured ...
1
vote
0answers
45 views

Has anyone found good data sources to model / backtest crypto-currency trading strategies? [duplicate]

I want to write trading strategies for crypto-assets. I am looking to find data sources I can play with to backtest. Has anyone found easy to use data or do I have to index / crawl data sources?
3
votes
1answer
281 views

Relation between price changes and trading volume (market impact)

It is quite a well-know phenomenon that trading volume has an impact on a stock price: the more you buy the higher is a price because of demand increment. I'm wondering about models that can describe ...
1
vote
1answer
394 views

Difference between CRSP equal weighted and composite index

I am a bit confused about the overall CRSP total market return index and the equal weighted index. I know that the value weighted index places a weight on each firm by their respective market values ...
1
vote
5answers
2k views

API-based equity screeners?

I know there are APIs from different brokers that allows you to trade and also obtain information about specific companies, but I wonder if there are equity/asset screeners that are API-based and can ...
2
votes
2answers
619 views

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 ...
27
votes
8answers
13k views

Training set of tick-by-tick data?

I'm looking to find a free source of tick by tick data (<1sec) for training purposes. It doesn't need to be longer than a day, and I don't care what instrument, or exchange, or time it is. I just ...
1
vote
2answers
642 views

Bloomberg Alternative for Quant Fund

Is there an alternative to Bloomberg for someone who only needs historical data (stocks, futures, indices) as well as what Bloomberg calls 'reference data' - i.e. what is the multiplier of ESU4, what ...
1
vote
1answer
91 views

Historical overnight stock data

We are looking for historical overnight stock data of large US stocks and it's main indexes for a thesis project. While some websites offer partial data, such as nasdaq offering the last 100 trades, ...
1
vote
2answers
245 views

How do I get a list of all ETFs / REITs?

I am currently doing a research which will need ETF and REITs' historical data back in early 2000s. The problem is I do not know what symbols existed back in then, unlike indices like S&P and DOW,...
2
votes
1answer
606 views

Should I randomly shuffle train and test datasets?

Usually we randomly shuffle train and test datasets for machine learning problem. However, some sources say that for financial problems we should split data into train and test in chronological order ...
0
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0answers
56 views

Dealing with misaligned dates for trend-following strategy?

This is a bit of a naive question, but I figured it couldn't hurt to ask. I have time series data that looks like: ...
1
vote
1answer
40 views

Public Company Competitors?

Where can I input a stock ticker and get back a list of the top 3-5 competitors of the stock? E.g. if I input F, I get GM, etc. It would be great if this could also give me data for delisted stocks.
1
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0answers
55 views

Alternative to Quandl for Europe or France equities? [duplicate]

Quandl is perfect for US equities, but lacks data for Europe/France. I'd like to find the equivalent of the following data for Europe/France: Zacks Daily Maintenance Zacks Company Profiles Core US ...
2
votes
0answers
51 views

Is there any research available on profile of the market participants in different markets?

I know markets are by large anonymous, is there any current research or data sources publicly available across different exchanges and/or investment instruments on the profiles of their investors? I ...
0
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1answer
295 views

How can I get reliable Yahoo Finance stock information? [duplicate]

I've been trying to calculate returns for different stocks but using Yahoo Fiance Historical price data seems to be weird. For instance, looking up the March 5th 2012 Price for APPL on the online ...
1
vote
1answer
34 views

Data on morocco exchange reserves

i'm trying to do some tests on exchange market pressure of morocco Where can i find data on morocco exchange reserves thanks
2
votes
1answer
136 views

Accurate closing and opening prices

Where can I find the most accurate closing and opening prices for the S&P500 and other major indices? I have been reading in a book called Machine Learning (author Ernest Chan) that many places ...
1
vote
1answer
765 views

Where can I get historical P/E ratio data of american stock?

I'm looking for P/E ratio of IBM or APPL (American nasdaq stock(?)) for past few years but I can not find it even I searched it ...
0
votes
1answer
69 views

Why is Yahoo finance's historical prices so high

Why is Yahoo finance's historical prices so high. For example, IBM's prices in the 70s are in the $300 range. I know that there are some errors in this data, but this a trend in many of their charts. ...