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Questions tagged [data]

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

71 questions with no upvoted or accepted answers
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6 views

Value Effect Analysis: Omit negative BE/ME companies or how to classify them?

I hope this question is allowed here, otherwise please delete it. Currently I'm working on a historic analysis of the value investment strategy. The foundation of this work is to classify the ...
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51 views

Excel formula for Laplace distribution

I am trying to create a forecast model, projecting the number of passengers through an airport over a period of time (daily, weekly, and monthly). I've already used Excel's FORECAST and POISSON ...
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62 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? Thanks!
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33 views

Tickers of companies included in Euro Stoxx 600

I'm trying to analyze the historical data of the individual companies that are part of the Euro Stoxx 600 index. For that, I am using a Python code that needs the tickers of the companies. Due to my ...
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38 views

Why do these Monthly vs. daily plots differ?

I got my data from Thomson Reuters Datastream. As an Input for my plot i calculated daily Returns based on the Return-Index provided by datastream. Then i plotted the Monthly and the daily Returns.(...
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31 views

Is there an official way to access all SICs code for a huge list of CIKs code from Edgar?

after reading this https://opendata.stackexchange.com/questions/857/is-there-a-resource-to-look-up-the-standard-industrial-classification-codes-that I realized that the CIK-to-SIC mapping list is not ...
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54 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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52 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 ...
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24 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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36 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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35 views

Bond Data on UK corporate

I have got data from FRED on Moody's Seasoned Aaa Corporate Bond Yield. Does anyone know where I can get such UK data on this? If not, would using exchange rates and the interest rate parity theorem ...
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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: ...
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73 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-...
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204 views

How to use Chow Lin method?

Can someone give me a simple explanation of how exactly this method works. If I have a dataset of say 10 quarters (dependent variable); how should the independent variable (say monthly data) be ...
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2answers
47 views

Where to get historical price and fundamental data for global equities?

I'm looking for reliable research data on global equity fundamentals, but I'm not sure which vendor provides these (and preferably only these) features: Programmatic access of data. Coverage of ...
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1answer
157 views

(Self studying) Finding data on Bloomberg

I apologize for asking this very simple question, but I was reading through this chart for the first time, and I would like to know where on Bloomberg can I find data like these, since I have to price ...
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1answer
64 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 ...
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1answer
476 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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1answer
474 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
87 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 ...
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2answers
196 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 ...