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0
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1answer
78 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 ...
-1
votes
1answer
44 views

VaR for Options portfolio

I'm asked to estimate VaR for Options portfolio. Firstly, I wanna try to estimate VaR for AAPL stock european call option using Historical Simulation but I can't find any Historical Data. I tried ...
0
votes
3answers
98 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 ...
2
votes
1answer
1k views

Did Google Finance API Go Away or Just Change Signature? [closed]

I have been using Google finance for many months to pull intraday and daily data. Today I tried to use it and got redirected. For example, the following URIs returned text data that could be parsed: ...
1
vote
1answer
71 views

Historical stock data with official open/close

Is there a source of historical US stock end-of-day data that contains the official open/close prices from listing exchange (that is, the prices that usually come from the opening/closing auctions)? ...
1
vote
1answer
55 views

Where can I download 10 year Treasury prices in OHLC format?

I'm looking for treasury prices (not yield) in OHLC format. On websites like this you can see it has intraday data, so we could drive an OHLC from it? But I can't find a website that lets me download ...
1
vote
0answers
31 views

List of long-Term Support & Resistance in forex or stocks [duplicate]

I'm looking for a study of historic long-Term Support & Resistance in forex or stocks. If possible with their level of strength (strong, medium...). Example ...
1
vote
0answers
28 views

Intraday option price data European stocks and indices

I am looking for intraday option price data for stocks and indices listed on European markets (SX5E, SMI, DAX, etc). Ideally, I would like to get files as clean as those provided by ivolatility for US ...
2
votes
2answers
112 views

Does using adjusted closing prices constitute a lookahead bias?

One of my machine learning project involves the use of adjusted close prices (from Yahoo Finance, for better or worse) to determine the label – if a stock's adjusted close price increases by more than ...
0
votes
1answer
46 views

Analyst Action Data

I want to build models based on analyst action data that include historical price target changes from analysts. Yahoo finance only shows the rating change but no price target change for every action. ...
0
votes
0answers
26 views

What's a RELIABLE and FREE source for historical stock data? [duplicate]

I need to download historical stock data for about 2000 LSE listed stocks. Given this is a one time thing, I would like to avoid signing up to a monthly service (I know there are many paid services ...
0
votes
1answer
298 views

Google Finance API for historical price data analysis?

I've been trying to build a trading algorithm and fooled myself into thinking it worked. Turns out, Google Finance quite often returns the wrong data. Not "sorry, we couldn't return data for this ...
0
votes
2answers
102 views

Why are there stock price inconsistencies between Yahoo Finance, Google, and other data providers?

For example, look up the London Stock Exchange stock CloudBuy PLC (CBUY) - The closing price on 7th June 2017 is different among data providers - 1) Google search the ticker and evaluate the price ...
1
vote
1answer
76 views

Question on OHLC historical data

I am going through some historical stock exchange data and I have stumbled on a few cases where the stock closing price is higher than the recorded high price; is this even possible or is there error ...
2
votes
2answers
142 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 ...
0
votes
1answer
153 views

Historical Data - Level II with Time and Sales Data

I'd like to get historical data for level II (Time, BidPrice, BidSize, AskPrice, AskSize) and Time & Sales (Time, Price, Size) data (with timestamp indeed) for machine learning purposes. I want ...
0
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0answers
46 views

Database for Historical data for backtesting [duplicate]

I have 1 min historical data for NSE futures and options. I want to backtest trading strategies using Python. Which are good databases to organise options and stocks data? How to structure data so ...
1
vote
2answers
93 views

Index reconstruction

This is quite a rookie question. I've searched for solutions but have no luck finding the exact same question... I am going to do some research on historical prices/returns of the underlying stocks ...
0
votes
1answer
49 views

dividend paid on FTSE100 time series data

I need dividend paid on FTSE100 for last 10 years. I want to calculate the dividend-price ratio for FTSE100 as a time series data. I would really appreciate if anybody can give me a clue about finding ...
5
votes
1answer
74 views

Historical stock borrow fees

I am not sure if this is an appropriate question, but anyway: to properly backtest long/short strategy one must have data on what the short loan fees were/are. Is there any decent data source for that?...
0
votes
0answers
96 views

AAA BAA UK corporate bond data?

I have seen lots of examples of US data on corporate bonds. However, I was wondering if there was a UK equivalent of the Moodys AAA, BAA spread.
1
vote
2answers
93 views

Identify stock split from historical price data

I have price series data with open, high, low, close and adjusted close for different companies. I am not sure whether this data is adjusted for stock splits or not and would like to know how to check ...
0
votes
1answer
64 views

World Stock Markets that went up in 2008

We all know that the US stock market(s) collapsed in price in 2008, see https://en.wikipedia.org/wiki/United_States_bear_market_of_2007%E2%80%9309. I was wondering what countries' stock markets went ...
2
votes
0answers
203 views

How does this return decomposition work?

http://image-src.bcg.com/Images/BCG-Value-Creators-2017-Appendix-July-2017_tcm9-166061.pdf The paper here decomposes total shareholder return into different components. Here is my derivation of the ...
0
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0answers
53 views

shortsqueeze.com

Does anyone have experience subscribing to shortsqueeze.com, and if so, how would you rate it? I sent a couple emails to their support, but haven't even gotten back a response and it's been about a ...
0
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0answers
25 views

How to compare or compute moving averages between two stocks if the other has missing days?

First of all, I'm very new to quantitative analysis but I need to satisfy the request of a client which is to compute the moving averages (simple and exponential) of stocks from our database. I'm ...
1
vote
2answers
65 views

What is the convention for option tickers on S&P 500 and VIX?

Can you please explain what are all possible versions of S&P 500 option tickers and VIX option tickers? My options historical data is from 2006 to 2013 and I can see something like VIXAB, VIXAC, ....
1
vote
0answers
95 views

Where can I get Currency options historical data?

where can I get historical data for currency options? For most part, google gives me links to binary options and other shady webpages.
1
vote
1answer
155 views

Where to find historical constituents for any Global Market index?

Is there any public dataset, where the historical data for index composition and constitutients are being presented? I have only found data for S&P 500, though I would need global market index (...
2
votes
1answer
137 views

Daily S&P500 close in JSON?

Does anyone know of a publicly available dataset for S&P500 index published daily in json format? Took a look at quandl but nothing for free. Google searches bring back a whole host of unhelpful ...
1
vote
3answers
180 views

Backtesting, how missing data points should be handled?

Assume a daily trading strategy. Obviously, there are weekends and holidays when the market is closed. Should those days be excluded completely or should the price be interpolated in some way to fill ...
0
votes
0answers
36 views

Estimate term structure for market price of risk

Goal: I would like to estimate historically the "market price of risk" term-structure for a risk factor that follows a Geometric Brownian Motion. Example: Consider a stock price process $S_t$ with $\...
1
vote
1answer
86 views

Use of Historical Volatility in Black 76 Model

I am trying to use the Black 76 model to calculate the price of a bond option. Is it possible to use the historical volatility of the bond prices (say standard deviation of the log returns over the ...
0
votes
0answers
190 views

What to use to store order book [duplicate]

I would like to know optimal way to store order book from cryptocurrency exchanges. For get order book from cryptocurrency exchanges, I use https://github.com/ccxt/ccxt but what to use to store order ...
0
votes
0answers
12 views

What is the best data range for calculating Risk Premiums for Market, Size and Value?

In French's website where he posts data, his data goes back to 1926. http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html In Fama French's paper "The equity risk premium" they ...
5
votes
1answer
83 views

Is the Fama-French website data free of the serious selection bias pre-1962 where it's tilted toward big historically successful firms?

Fama and French use data starting in 1963 in both 1) "Common risk factors in the returns on stocks and bonds" (1993) and 2) "The cross-section of expected stock returns" (1992) and mention in (2) ...
1
vote
0answers
48 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 ...
1
vote
1answer
85 views

What are necessary adjustments to returns in CRSP?

I guess this is a pretty straight forward and basic question. I am using the entire CRSP universe from 1962-2016 and my goal is to replicate a research paper. However, I realized that the average (...
10
votes
4answers
510 views

Why (most) quants think that the risk-neutral measure should not be used for financial forecasting?

In posts regarding the $\mathbb{P}$ vs $\mathbb{Q}$ debate (see 1, 2, 3 or 4), most answers seem to conclude that historical-based methods are better suited than risk-neutral models for financial ...
8
votes
2answers
691 views

Data for the Tulip mania

The Tulip mania is considered to be one of the first recorded examples of a speculative bubble in modern history. Long story short, the newly introduced tulip plant in the United Provinces, combined ...
0
votes
0answers
43 views

ISIN on biggest companies in the world

I would like to get the ISIN of the 500 biggest companies in the world by revenue for every year on the first of January (starting in 1993). I found a database on Bloomberg, but they seemed to have ...
2
votes
1answer
37 views

Historical Neighborhood Level Housing Data Source?

Quandl has neighborhood level housing data and a good API. Is there a way to use their API to get the same data from 2009? If not, is there another source for historical neighborhood level housing ...
0
votes
0answers
49 views

Historical data for big old hedge funds

How can I get hedge fund data showing historical returns or closing prices for now private funds such as Soros' quantum, and Renaissance medallion?
-2
votes
1answer
137 views

Dividend Yields of the S&P500

Straightforward question; Is it possible to find dividend yields of the S&P 500 on a daily basis (or at least the dividends of the S&P 500)? I have been looking everywhere and can't find ...
2
votes
1answer
171 views

SPX options data from the CBOE data shop

I would like to explore some listed options trade ideas on the SPX (and maybe later on its components too), and naturally I would need historical data to backtest those ideas. In my quest for a ...
0
votes
0answers
75 views

How to identify and filter gaps in Yahoo Finance Data?

I am using Yahoo Finance Fix to download and process securities data (day level). As we all know, yahoo's security data quality is not exactly perfect. In order to identify and filter gaps (i.e. ...
0
votes
0answers
362 views

Negative slope security market line

I downloaded weekly data of Stock prices from yahoo finance and computed the expected returns and betas. I found the betas using the ALL ordinary price index as the market portfolio. I then regressed ...
1
vote
3answers
100 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? ...
0
votes
0answers
26 views

Europe Biotechnology market index data series

Where can I download the data series for an index that covers European biotechnology stocks? I found the index "STOXX® Europe TMI Pharmaceuticals & Biotechnology", but the data series freely ...
7
votes
1answer
2k views

Is Yahoo! Finance data good or bad now?

I have read various blog posts and reddit threads and so on talking about the recent changes to the Yahoo! Finance API and it leaves me very confused. I'm confused about what has changed. Supposedly ...