Questions tagged [data]

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

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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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1answer
122 views

Which data provider do you recommend? [duplicate]

i need to run optimization models and backtests on developed market equities. I have access to Refinitivs Eikon, but it doesnt have a backtest tool and downloading the data is a challenge on his own. ...
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1answer
110 views

Data: Why is a firm stock delisted?

Shumway (1997) highlights that stock returns in cross-sectional portfolio analysis have to be adjusted for firm delistings. The CRSP database maintains a monthly delisting file (msedelist) with ...
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1answer
60 views

What preprint repositories are available online?

Besides data sources, what preprint archives are available for academics and practitioners in the fields of Quantitative Finance and Economics? I have subscribed Google Scholar alerts and regularly ...
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1answer
869 views

Volume or Dollar bars vs. volatility normalized and demeaned financial time series

In his book - Advances in Financial Machine Learning, Marcos Lopez de Prado familiarises the reader with a number of ways of normalizing our financial time series data. Below I provide a couple of ...
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1answer
59 views

Mean Variance optimization on hourly data with gaps

I'm building a mean variance optimizer for a portfolio of FX, commodity and bond futures. The input data is hourly returns for each underlying. Given each underlying has different market opening hours,...
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2answers
84 views

Datasource of all scheduled news events for S&P 500 stocks

I am looking for a datasource which contains all news events specific to equities of the S&P 500, whose release date was scheduled in advance. That is, I am not looking for surprise news. For ...
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1answer
263 views

Loan Level Data for Residential Mortgage Backed Securities

I'm looking for loan level detail for Residential Mortgage Backed Securities. The SEC requires that form ABS-EE (individual level asset data) be filed for all offerings backed by residential ...
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1answer
298 views

Are Kenneth French Research Returns log-Returns?

Does anyone know if Kenneth French's return data on his website is log returns?
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2answers
118 views

Imputation of missing returns

I'm trying to calculate a historical VaR for a portfolio of futures, however there are certain days for which some assets are missing prices. Since the portfolio consists of many spread positions, the ...
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1answer
305 views

Bloomberg's Open Market Data Initiative

I am reading about OMDI: https://www.bloomberg.com/company/announcements/bloomberg-opens-its-data-distribution-technology/ After reading that, I am still not sure: Is it free? If so, what kind of ...
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1answer
39 views

Kenneth Frenches Data library return data to price data?

I have downloaded the industry portfolios from Kenneth Frenches data library, I am wondering if anyone knows where I can find the price data? Can I convert it even if I don't have a starting value? ...
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1answer
83 views

How to obtain data for Benford's Law analysis?

First off, let me be specific as to what I mean by "Benford's Law analysis": I'm looking to test, given some data, if the set of first significant digits are independent, identically distributed ...
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4answers
335 views

Filling a few missing data in time series?

I'm writing a paper about Uncertainty indices like VIX, etc. I already collected all data but it seems that some of the variables got a few or a little more missing data. I have daily and monthly data ...
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1answer
89 views

Simulating trading strategies

I want to simulate real time trading strategies. For simplicity, let's say I only want to simulate a long-only portfolio on S&P500. I have a couple of questions: Is there a place online where ...
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1answer
801 views

How to deal with missing value in a time series stock market data?

I have collected data for the period of 2002 to 2018 for following indices Nifty (India), NASDAQ (US), ADX (UAE) and TASI (Saudi Arabia). After collection, I have arranged data in a single sheet with ...
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5answers
1k views

10 years intraday for a single stock

For a personal experiment I need to acquire 10 years worth of data (with time resolution hourly at least) for a single stock. It doesn't really matter which stock, and the data doesn't need to be very ...
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0answers
28 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 ...
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2answers
113 views

How do I calculate bad debt on revolving credit?

I have a revolving credit system. A customer purchases and then has 6 months to pay off the purchase. i.e. Purchase for 60 in Jan and then need to pay 10 a month in Feb, Mar, Apr, May, Jun, Jul. The ...
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1answer
71 views

Downloading historical data of “Financial Account Data”

I would like to know how to download historical data from www.federalreserve.gov/apps/fof/FOFTables.aspx Please advise.
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1answer
1k views

Automatically get iShares ETF holdings

I heard that ETF's must publicly report their holdings all the time. I have seen that for example on the iShares website I can download the list of holdings as a csv file: https://www.ishares.com/us/...
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38 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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2answers
1k views

Classifying stocks by industry (free)

Is there anyway to get the stock symbols of an exchange classified by industry? For example: AMD-semiconductor The best I could find was this page: https://money.cnn.com/data/sectors/tech/electronic/...
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0answers
30 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 ...
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1answer
76 views

Subset selection to identify independent variables that impact the market?

Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally ...
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1answer
634 views

how to treat NA values in Compustat and CRSP

In some years, some accounting values of some companies are missing in Compustat and CRSP. How do I treat those missing values ? Should I replace those with zeros or just simply delete years in which ...
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1answer
196 views

Data sources for historical Eurex settlement option prices

I am looking for long history for historical settlement option prices at EUREX. This seems to be more challenge than I could imagine. Eurex themselves doesn't offer that data unfortunately (they only ...
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2answers
286 views

How to test the CAPM empirically and how do I use this Kenneth French dataset?

I'd like to test whether CAPM holds. My guess is that I first need to find a market portfolio. Then, over some period, I calculate its excess return $R_M - r_f$. Then I calculate the return of some ...
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0answers
32 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 ...
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2answers
1k views

Mapping I/B/E/S to Compustat via 6-digit CUSIP

I am trying to link Thomson Reuter's I/B/E/S dataset with Compustat. Both I obtained via WRDS. The only halfway useful info I could find was on a two year old forum post, which suggests to go through ...
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0answers
72 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 ...
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3answers
592 views

Appropriate way to normalize Bollinger Bands?

I am playing around with using neural nets to make predictions on market trends. I am currently feeding in a portfolio of historical data of many stocks, and am now implementing several technical ...
2
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1answer
1k views

Real-time limit order book data of desired depth

Is it possible to get real-time NASDAQ limit order book data feed somewhere? I would need a stream of the limit order book data, preferably something similar to: Along with the respective events ...
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1answer
131 views

Dividend Yield Goyal and Welch (2008)

Following the Goyal and Welch (2008) stock return predictability data, does anyone know how they calculate the dividend yield from the dataset that they provide on Amit Goyals website http://www.hec....
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1answer
165 views

Where can I find historical data for Europe listed ETFs?

I'm currently working on building a portfolio optimization tool for European ETFs such as: (SYMBOL/ISIN/description) IQQF / IE00B0M63730 / iShares MSCI AC Far East ex-Japan UCITS ETF EXW1 / ...
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1answer
167 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
423 views

Download bond yields R

I need to download bonds yields using R. I tried, as usual, I did for stocks: spc <- new.env() setDefaults(getSymbols,src="FRED") getSymbols("^AT0000386198", env = spc, from = "2010-01-01", to =...
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2answers
2k views

Why don't data sources use ISIN instead of symbol?

I've been messing around with stock data off and on for a year or two and just recently found out about the ISIN. Up until I found some data from Siblis Research, none of the other data sources used ...
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0answers
41 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
149 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 ...
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2answers
467 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, ...
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0answers
95 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
224 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
206 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
117 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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3answers
1k 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
92 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
113 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 ...
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3answers
132 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 ...

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