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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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30 views

Is there any standard test data for diversified and non-diversified portfolio?

Is there any standard test data for what is considered a diversified portfolio and non-diversified. I want to compare some metrics between a diversified portfolio and non-diversified portfolio. It is ...
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0answers
37 views

Transform 24hr cumulative volume to sampled periods

I have a Python Dataframe with cryptocurrency data that has three columns: time, 24hr volume and price. The time is the time at which the data was received from the exchange, price is the last price ...
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0answers
158 views

Free Intra-day futures data API?

Does anyone know of a free or very inexpensive intra-day futures data provider? I know there a quite a few of them for equities (Alpha Vantage, google etc) but can't seem to find any on the futures ...
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0answers
107 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 ...
4
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2answers
294 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, ...
2
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0answers
78 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 ...
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0answers
147 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 ...
2
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1answer
159 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 ...
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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 ...
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3answers
104 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? ...
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2answers
466 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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1answer
78 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 ...
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0answers
73 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 ...
2
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3answers
114 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 ...
2
votes
2answers
403 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
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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. ...
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1answer
64 views

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

From a quantitative point of view which information is significant, what can be ignored?
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0answers
217 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
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1answer
7k 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 ...
8
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1answer
3k 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 ...
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3answers
2k 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 ...
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2answers
187 views

What are some simple, free/affordable methods to obtain a spreadsheet of selected columns for a comma separated list of publicly traded stocks?

For example, if I wanted to compare a list of equities inside of a very small segment of the global economy (say, the members of the Emerging AgroSphere ETF) I'd want to know their full names, their ...
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0answers
264 views

How to do an event study for many companies with different event dates?

Is there any trick that helps you to do this (faster) for multiple events/companies? I am doing an event study and I have more than 400 companies with data over 5 years and for every quarter event ...
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2answers
722 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
113 views

Portfolio optimization with changing portfolio constituents

Say I have time series data for $N$ assets, where for the longest existing asset I have data from $t_0=0$ to $T$, but for several other assets I only have data from say $t_0+k$ to $t_0+l$ for some $0&...
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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?
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1answer
355 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 ...
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3answers
3k 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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1answer
317 views

Data: to clean or not to clean

From risk management point of view using cleaned data (excluding or modifying extreme/outlier observations) would give less conservative measure as compared to real-world raw data. So they are more ...
9
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3answers
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 ...
3
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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 ...
4
votes
1answer
267 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 ...
3
votes
2answers
415 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 ...
2
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1answer
497 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 ...
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0answers
48 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: ...
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1answer
85 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, ...
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1answer
439 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 ...
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1answer
37 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.
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0answers
42 views

How to breakout of an endless loop

I am attempting to replicate results from an academic paper which uses data mining via weka and so the chosen weka classifiers are fixed with regard to parameters etc. (1) training / test split is ...
2
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0answers
50 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 ...
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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 ...
4
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1answer
192 views

I am looking for a list of all companies worldwide with their annual revenue

I am trying to find a list of all publicly traded companies worldwide along with their annual revenue. I can get the list of stock symbols but is there a way to get their annual revenue without ...
1
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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
0
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1answer
234 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 ...
2
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1answer
121 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
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1answer
626 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
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1answer
62 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. ...
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2answers
153 views

Practical challenges in storing and managing market data

I am trying to store incoming tick data from the US equity markets on a database. What are the most common problems that come up with respect to storing and managing such a large data set. A few ...
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3answers
619 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 ...
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1answer
49 views

European Financials Index

I am looking for the returns of an European financial index as it is the Dow Jones U.S. Financials Index (DJUSFN) for the US. Do you know if such an index exists and if it is available on yahoo ...