Questions tagged [data]

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

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1answer
35 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
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1answer
138 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 ...
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1answer
783 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 ...
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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. ...
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2answers
174 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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7answers
1k views

Do quants need to know Accounting?

Do quants need to know Accounting? In my school's undergrad Quant program, we had Financial Accounting and Managerial Accounting, which were listed as prerequisites for our undergrad Finance subjects....
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1answer
51 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
502 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
101 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
411 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 ...
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1answer
63 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
199 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.
2
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1answer
290 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
300 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 ...
4
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1answer
937 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,...
1
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1answer
455 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 ...
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2answers
107 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 ...
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2answers
1k 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
3
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0answers
631 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. ...
1
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1answer
505 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 ...
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0answers
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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8answers
25k views

What is the best data structure/implementation for representing a time series?

I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series. ...
2
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0answers
140 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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1answer
983 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
185 views

ISM PMI data - sector trend through ranking and seasonal decomposition

I have monthly data for each of the 18 sectors in the ISM PMI. Each datapoint shows the trend of a sector: growing, contracting or neutral. It also tells the strength of that trend with a number: "...
0
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2answers
922 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 ...
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4answers
15k views

Are public historical time series available for ratings of sovereign debt?

The nice list of free online data sources What data sources are available online? does not mention any data from ratings agencies. Are historical time series available for sovereign credit ratings (...
2
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0answers
595 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 & ...
0
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2answers
131 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 ...
1
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1answer
71 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 ...
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 ...
1
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0answers
46 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 ...
2
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3answers
368 views

Options Data Sources

I am using Option Metrics to study a couple of things related to options. However, Option Metrics is quite limited in terms of scope (mainly it's US equities). I was wondering two things: 1) Are ...
2
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0answers
55 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
137 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 ...
1
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2answers
746 views

Original Fundamental Accounting Data (Not Ratios)

Where do I get original fundamental accounting data from income statement, balance sheet and cash flow statement, like Sales/Revenue, Gross Income, EBIT, Operating Income, Cash & Short Term ...
13
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2answers
6k views

Why use a column database for tick/bar data?

I often hear that column-oriented databases are the best choice method for storing time series data in finance applications. Especially by people selling expensive column-oriented databases. Yet, at ...
2
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1answer
57 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 ...
16
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4answers
4k views

How to generate synthetic FX data for backtesting?

I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this: Start with a curve representing a trend, then randomly ...
6
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5answers
2k views

Bloomberg alternatives for fixed income data

I am looking for a (hopefully significantly cheaper) alternative to bloomberg - primarily for fixed income data. Perhaps some survice that has a more modular fee structure (so that I only have to pay ...
13
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6answers
9k views

Earnings and valuation data sources online

Are there any free/cheap sources for historical data on company earnings and valuations? I can get historical price data from Google and Yahoo, and it looks like I can get about five years of ...
1
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3answers
2k views

float64 to store price data: is precision sufficient?

I am looking to store equity price data in a hdf5 table. The use will be purely as a historical archive, not as day-to-day data source. Options One option would be to store base10 significand and ...
1
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1answer
205 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 ...
2
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1answer
116 views

Exactly what data is available in XBRL, and how far back does it go?

What data is available from the SEC in XBRL format? Is it just 10-Qs and 10-Ks, or other filings as well? When did XBRL become mandatory for all filers (or is it still not?)
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1answer
86 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 ...
1
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1answer
104 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 ...
2
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3answers
2k 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 ...
2
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1answer
74 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 ...
1
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0answers
49 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, ...