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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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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 ...
1
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0answers
424 views

Commodity index member weights (historical) for S&P GSCI and BCOM

Does anyone know a datasource for retrieving the historical index member weights for the two major commodity indices S&P GSCI and Bloomberg Commodity Index? My institution provides access to ...
1
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1answer
91 views

S&P 500 list for free with exits?

Is there any free source for S&P 500 historical data with exits for the last 10 -20 years? I can get free data from Yahoo, but it only has the currently traded tickers and NaN values before the ...
0
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1answer
57 views

Is there an open architecture API or excel solution for calculating and adjusting bond pricing?

Is there an open architecture API for calculating and adjusting bond prices? I am looking to adjust bond pricing on OAS or adjusted spreads to various indices and need a tool to process large amounts ...
0
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1answer
151 views

How can I get all the financial ratios of all the companies listed on Nasdaq?

I hope the question is clear enough. I know of intrinio.com, which lets you get each datapoint at a time, but not all at once.
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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 ...
3
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1answer
266 views

Yahoo: Downloading Stock data from symbols with a period (.)

Hi: I'm using R to start learning about quantitative finance. I'm good at R, just learning finance. Some stocks on the TSX have periods in their names, usually indicating that it's a class B share, ...
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2answers
138 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
321 views

Does Bloomberg Terminal have access to CRSP “permno”s, Compustat GVKEYs?

CRSP has a nice, permanent identifier system for securities known as "permno"s. I don't have access to a Bloomberg terminal, but am considering the investment. Does the Bloomberg terminal know these ...
1
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1answer
374 views

What is a technical value?

I'm trying to get my head around the following Kaggle competition: https://www.kaggle.com/c/two-sigma-financial-modeling/data The data is a frame made up of various columns, with a tuple structure ...
4
votes
1answer
613 views

Reliability of CDS indices?

Looking at a time series two North American CDX indexes, one high yield and one investment grade, shows somewhat unexpected trends. CDX.NA.IG seems to be much higher and more volatile than CDX.NA.HY,...
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2answers
840 views

dataset on Credit Default Swap [duplicate]

I would like to have the CDS for the main countries. Do you know where I could find these data free to use? Thanks a lot
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0answers
623 views

Replacement for Moodys BAA and AAA series

Along with many other people, I have been using Moody's seasoned BAA and AAA corporate bond yield series for my research for some time. I use them primarily to compute and analyze the quality spread. ...
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0answers
70 views

API to query ME, BE/ME, P/E etc. accounting data per stock symbol

We don't have access to: Bloomberg Thomson Reuters CRSP COMPUSTAT And we are trying to replicate FF-1992, so we can have stocks returns via yahoo finance, like: http://investexcel.net/multiple-...
3
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0answers
131 views

How to reset indicators in quantstrat / quantmod?

I am currently trying to back test a strategy on a file which contains minutely data for the whole month. I would like to reset my indicators at 3:30 PM . Is there a way I can reset the indicators ...
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0answers
1k 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" ...
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2answers
746 views

Which tool is best for drawing candle stick plot?

I'm considering to develop a visualization tool, in which the candle stick plot is a big part. I've seen people doing this using Python's matplotlib, Qt and PyQt. There are also several tools out ...
1
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1answer
373 views

pandas pull 500 stocks through data reader

Is it possible to pull 500 stocks from yahoo finance through the pandas data reader at once? I need to grab large chunks of adj close prices for different tickers. I can pull like 10-20 at a time and ...
0
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1answer
645 views

Is NASDAQ file “nasdaqtraded.txt” a list of all common stocks traded on NYSE, NASDAQ and AMEX?

A prior post had stated how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX - via NASDAQ site at ftp.nasdaqtrader.com in ...
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0answers
444 views

Advice on linking DUNS to GVKEY

I'm working with US Government procurement contracts and I'm like to merge the contract data with stock data from CRSP and firm fundamentals from Compustat. The contract data uses the Dun & ...
1
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1answer
70 views

One-day spikes in implied volatility data

I am building a model that takes the 12 month ATM call implied volatility as one of its inputs. I downloaded this implied vol time series data from Bloomberg for CM CN Equity (Canadian Imperial Bank ...
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0answers
44 views

How to reduce data dependence for empirically assessing option pricing model performance?

I am preparing a paper about mitigating assessment failures for option pricing models. For the sake of simpliciy, suppose we are talkin about European options. In basic terms, what I would like to say ...
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0answers
266 views

OHLC historical data source

[It is worth noting that I have reviewed other similar questions, but this differs discussing specific criteria] I have been facing the problem of acquiring data since developing a real need for high-...
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2answers
128 views

Obtain prices for list of stocks

I have a spreadsheet with a large number of ticker symbols. Is there any site that can get the current or past (either works) price for each of these stocks in one fell swoop? Paste in the list of ...
2
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0answers
53 views

How to get swap reporting data from repositories ICE and CME?

Bloomberg and DTCC both release swap reporting data in form of downloadable files which can be analyzed later on. I have been looking for the same on ICE and CME sites, but couldn't find. How can I ...
0
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1answer
130 views

Is there a website with text-only (quick downloads) of stock data (symbol, price, etc.)? [duplicate]

Is there a website that provides a .csv file of every U.S. stock or a text-only web page of U.S. stocks (e.g., symbol, last trading price, price-to-earnings ratio etc.)? If there is no free one, what ...
2
votes
1answer
51 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 ...
3
votes
1answer
2k views

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?
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2answers
239 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,...
38
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5answers
17k views

Building Financial Data Time Series Database from scratch

My company is starting a new initiative aimed at building a financial database from scratch. We would be using it in these ways: Time series analysis of: a company's financial data (ex: IBM's total ...
1
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1answer
175 views

How to interpret minute by minute ticker data

The data is in the following format: { Time= 650 Volume=700 Last=89.22 High=89.56 Low=89.20 Open=89.25 } I understand that the time value represents the current minute of the day, market ...
0
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3answers
921 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
votes
2answers
237 views

How to choose the correct ticker for rates?

I would like to calculate funding liquidity following Asness/Moskowitz/Pedersen (2013). Among others, they calculate the LIBOR minus term repo rate, and the Swap-T-bill, LIBOR minus interest rate ...
1
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1answer
93 views

Historic and future (next) round of machine readable dividend info

Is there a source of historic dividend dates, ex-dividend dates and dividend values? Also, the next dividend date / ex-dividend date. Ideally in a machine readable form? The publically available APIs ...
1
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0answers
48 views

Distribution of loans by types of interest

Im looking for some kind of report that would inculde data on the distribution of corporate loans by types of interest(fixed/floating), specifically global not just for one country(developed, ...
3
votes
1answer
45 views

Is futures contracts data only reported for business days?

After digging around a few sources of futures data (in particular Quandl and EOD Data), I noticed the data only reports for business days (i.e. Monday-Friday excluding national holidays). The NYMEX ...
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0answers
51 views

Are there data sets for the topology of financial assets?

There have been a number of articles talking about financial topology and understanding cascading failures and risk. A while back there was another article about how a small number of companies form ...
2
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1answer
70 views

Where to find historical time series data for number of new investor accounts

I am examining the impact of investor sentiment on the probability of stock market crises. I am constructing a composite measure of investor sentiment according to the methodology used in this paper ...
2
votes
1answer
311 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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0answers
154 views

Is there a public SQL database for all US stocks?

I would like to search through all US stocks (via SQL or another technology), and filter them by certain parameters (similar to a stock screener, but through an API rather than a user interface). Is ...
3
votes
2answers
104 views

How to take care of newly auctioned yield/price in fixed income data

This is a financial data cleaning question. I have raw price and yield data for US cash treasury across the curve. In the time-series there are jumps on the day after the treasury auction results come ...
10
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4answers
2k 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?
4
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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....
2
votes
1answer
303 views

OTC Market Data

I am currently doing research on the OTC Markets (OTCQB, OTCQX). As far as I know, the only data available is end of day. The research will require tick level data. This leads me to two questions: ...
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1answer
93 views

Financial statement and stock market data [duplicate]

How is it possible to have access to Datastream, Bloomberg, Wrds database? Is there another free database with long historical data? In fact, I need long time series data belonging to NYSE and NASADAQ ...
2
votes
3answers
1k views

accuracy of Yahoo Finance stock data (Python module)

I am using the yahoo finance python module: https://pypi.python.org/pypi/yahoo-finance I am using it for a project and would like to see if anybody else uses data from this source and can vouch for ...
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1answer
85 views

Comparison of quality across different fundamentals data sources?

There are a variety of different mechanisms and rules used by each fundamentals data provider to standardize and report company fundamentals. For example, the transformation of reported statements to ...
5
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3answers
1k views

Real-time Tick Data API for the Italian Stock Market

I am looking for a service that is able to provide real-time tick data (time&sales) for the contracts traded in the Italian Stock Market (Borsa Italiana). The service should provide data through ...
2
votes
1answer
87 views

Old CBOE SPX options data: listing and expdate issue

I can't figure out the logic behind SPX option data for 2008-2009 years. First, all traditional SPX options have exp_date on the third Saturday of each month. How can it be? Why not Friday? Second, ...
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0answers
91 views

Intraday return and volatility figures some sense check

Some questions about intraday returns and volatility figures. It is with the objective of sense checking. Firstly, for Security A, I am calculating the five minute interval return numbers over 29500 ...