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.

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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 ...
Drew's user avatar
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10 votes
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option chain data visualization, sunburst

I think option chains are not represented in the best way. With more and more options products coming out and trading on the various exchanges, I see vendors struggling to keep up with a good way to ...
CQM's user avatar
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5 votes
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Anyone know if this daily report discontinue to publish? Goldman Sachs - "Global Index Volatility and Correlation Monitor"

I used to receive this daily report in my workplace from Goldman Sachs mailing list but the mailing list discontinued in May 2019 without any notice. The report is an pdf attachment which send from "...
lofi303's user avatar
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4 votes
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Match different option high frequency databases

I downloaded the “E-mini S&P 500 (Dollar) Options for 1/10/11” Top-of-Book (BBO) data. If you are interested you may download the data from the following link (approx. 80MB zipped and 1GB unzipped)...
conighion's user avatar
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3 votes
0 answers
166 views

Identifying the same company behind stocks traded in different exchanges (e.g. CUSIP and WKN in 1990ies)

I would like to merge two data sources with companies headquartered in Germany between 1980-2000, but listed in Germany and the US. One source identifies "German companies" by their CUSIP, the other ...
moezelot's user avatar
3 votes
0 answers
664 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. ...
farnsy's user avatar
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3 votes
0 answers
74 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 ...
pauli's user avatar
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2 votes
1 answer
224 views

How to test an orderbook using real data

I'm pretty new to all this but haven't found anything online on my issue (the answer may be very obvious since I'm a beginner) - I'm currently coding up a very generic orderbook in C++ for fun, just ...
cocode's user avatar
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2 votes
0 answers
127 views

Back testing fixed income for bond portfolio management

When doing back test trying to replicate a paper, how do you handle bonds that are maturing in an index? Say I was trying to create a strategy, how do I account for bonds that mature in terms of ...
the_brass_bottle's user avatar
2 votes
1 answer
2k views

Is alpha vantage api for fundamental data reliable?

Can anyone speak to the reliability of the Alpha Vantage (AV) api for fundamental stock data? I have tried for a couple of stocks to get balance sheet data, and it seems close to accurate but I feel ...
Chris Kiniry's user avatar
2 votes
0 answers
1k views

Did AlphaVantage drop the swedish stock exchange?

I have used AlphaVantage in the past to get data for the Stockholm Stock Exchange: I don't remember exactly the symbol I used, but it was something along the line of OMX:ABB or STO:ABB (for, say, ABB)....
danabb's user avatar
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2 votes
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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 ...
Paweł Badeński's user avatar
2 votes
0 answers
124 views

Mapping international firms in I/B/E/S to Compustat

Follow up to my previous question on how to map I/B/E/S to Compustat. A big chunk of firms in both Compustat and I/B/E/S failed to map via CRSP for me. After some investigation, I noticed that they ...
altabq's user avatar
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2 votes
0 answers
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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 ...
Homunculus Reticulli's user avatar
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80 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 ...
Kimmo Hintikka's user avatar
2 votes
0 answers
161 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 ...
Yatharth Narang's user avatar
2 votes
0 answers
2k 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 & ...
Arthur Morris's user avatar
2 votes
0 answers
129 views

Equity Index Announcement Data

Does anyone know of a data source that provides announcements of future index events (adds/drops/re-balances), specifically for equity indexes? I know these are mostly available somewhere on each ...
goric's user avatar
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2 votes
0 answers
361 views

Data source for a corporate bond yield curve?

Yield curves are a valuable tool for economic analysis. It is particularly interesting to analyse the difference between Government Debt yields and Corporate Debt yields (credit spreads). This gives ...
DVCITIS's user avatar
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2 votes
0 answers
57 views

Time between end of use of ticker symbol by one company and beginning of use by another?

I have a CRSP stock dataset that goes up to december 2013. I'm trying to append yahoo finance data to it in order to bring it up to the current day. However, there are ticker symbols that once ...
siegel's user avatar
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2 votes
0 answers
103 views

Historical list of Primary Dealers in Europe

I would be interested in a list of all the banks and financial institutions that have been Primary Dealers in the European Union from the 1980s until today. For a current list you can check this pdf ...
fni's user avatar
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2 votes
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55 views

what kind of test for volatility and where find the data

I am working on a model for stochastic volatility. In short, the model try to capture that the volatility goes up suddenly after a shock (war, policy, financial events, etc) and then goes down slowly, ...
yap's user avatar
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2 votes
0 answers
1k views

fetch from yahoo! finance database - varying number of ticks

To test a model with real-life data, I used the fetch-function in matlab to connect to the database of yahoo! finance. My code to try and get 7 different assets' returns is the following: ...
Marie. P.'s user avatar
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0 answers
418 views

Fluid dynamics for order book depth modelling

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc). ...
user997112's user avatar
2 votes
1 answer
157 views

Where to find Investment home bias data & Historical country weight in World MSCI

I need the following data and struggles to find it, maybe some of you can help me. Note: I'm a student and in our university ain't Bloomberg nor Reuters. Investment home bias, e.g in 2012 US ...
michael's user avatar
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1 vote
2 answers
57 views

Historical data components of S&P 1500

I am doing some research about market microstructure and for this reason I need the historical data of stock symbols included in the S&P 1500 Composite Index. Namely, I need to know which stock ...
Jonny's user avatar
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1 vote
0 answers
50 views

Explanation for a Data from Treasury Direct

I am dealing with a treasury data from TreasuryDirect. Due to the lack of documentation, I am having a hard time understand the meaning of the variables. It would be great help if anyone can share any ...
leeway00's user avatar
1 vote
1 answer
62 views

Sampling dollar bars for ML model of multiple tickers

I have a Neural Network model that provides predictions for the future returns of a portfolio comprising stocks and cryptocurrencies. The original model operates on standard time bars and generates ...
apt45's user avatar
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1 vote
0 answers
76 views

How to aggregate qualitative data?

I am trying to look for methods to aggregate and find the average of qualitative data. There are 20 qualitative measures, each divided unevenly into 4 cycles labeled 1-4. I am trying to find which ...
worldCurrencies's user avatar
1 vote
0 answers
51 views

ML/DS in fixed income asset management

I am new to the topic but I would like to read papers/books/anything interesting to learn more how ML and data science is used in buy side Fixed income Asset management firms. Factor investing/signals/...
Medan's user avatar
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1 vote
0 answers
72 views

Historical data on valuations for internet companies during dot-com bubble

I am looking for data on historical valuations for internet companies during the years of the dot-com bubble (2000 - 2002). I know that big auditors have or at least have access to such data on ...
vonjd's user avatar
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1 vote
0 answers
278 views

Machine Learning model forecasting on real time data in python

I’m building a Forex trading system based on machine learning with Python and brokers API. I get price time series data + fundamental data and then i train the model on that. Model means SVM, RF, ...
Federico Juvara's user avatar
1 vote
0 answers
47 views

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 ...
DenCowboy's user avatar
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1 vote
0 answers
182 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 ...
AK88's user avatar
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1 vote
0 answers
47 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 ...
Dexter's user avatar
  • 111
1 vote
1 answer
319 views

Proper Data Partitioning For Building a Forecasting Model

Goal: A team and I are looking to build a model that performs a predictive action for the state of the market on day T + n, using the data at hand on day ...
David C's user avatar
  • 215
1 vote
0 answers
2k views

Historical data for total market capitalization

I'm working on a data analytics certificate and need historical data on the total market capitalization for the US for a course project. Can anyone suggest a source?
Christine's user avatar
1 vote
0 answers
73 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 ...
Jay's user avatar
  • 382
1 vote
0 answers
49 views

Identifying primary share class of U.S. firms and deleting excess observations

I have a fairly large dataset of CRSP firms with their daily closing prices from 2006 till 2017. I need to filter the data so that I have one daily observation per unique firm. I've identified the ...
S Wijn's user avatar
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1 vote
0 answers
45 views

amount of data - option pricer calibration

A practical question. When you calibrate an option pricer (whatever the model is), do you use data from several days or just one day (last trading day)? I noted some papers use data from one single ...
Pithit's user avatar
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1 vote
0 answers
319 views

How to handle database updates for splits/dividends?

I'm finding it an difficult task to maintain a database of stock prices. My main problem is how to efficiently handle splits and dividends. Is it better to handle this in a database with adjusted ...
eadains's user avatar
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1 vote
0 answers
46 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 ...
Mustard Tiger's user avatar
1 vote
0 answers
258 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 ...
JoaoBotelho's user avatar
1 vote
0 answers
384 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 ...
Homunculus Reticulli's user avatar
1 vote
0 answers
220 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 ...
Neal801's user avatar
  • 111
1 vote
0 answers
356 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:...
user3139545's user avatar
1 vote
0 answers
808 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 ...
burki's user avatar
  • 111
1 vote
0 answers
58 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 ...
berkorbay's user avatar
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1 vote
0 answers
52 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, ...
Michael Remsha's user avatar
1 vote
0 answers
85 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 ...
Axiverse's user avatar
  • 111