Questions tagged [historical-data]

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50 views

Working with 1 minute bar returns - do I throw out the first return of the day?

I am doing some academic work and using 1 minute bar data. I am wondering if when calculating the return time series, do I need to throw out the first return of the day because it is the return ...
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1answer
102 views

Is it always better to use the entire distribution of a financial dataset, not just mu and sigma?

In finance models that use historical returns for inputs, including option pricing models, forecasting and portfolio optimization, only the statistical moments of the returns distribution, $\mu$ and $\...
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1answer
32 views

How to download full daily historical data of MSCI AC Asia Index

I'm trying to download the daily historical data of the MSCI AC Asia Index. I've been testing different combinations of the following url: https://www.msci.com/eqb/esg/performance/110.0.all.html using ...
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2answers
53 views

Portfolio rebalance - How many data back do I need to perform sharpe ratio optimization

if I do a periodical rebalance of my portfolio based on sharpe ratio optimization, how many historical data should I take in account for optimizing with respect to the frequency of rebalancing? For ...
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0answers
38 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)....
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0answers
17 views

How can I obtain old Form 10-K filings?

I am trying to find old filings of Form 10-K. I am looking for some filings from the 1950s, 1960s and 1970s (i.e. filings in the era before the existence of EDGAR). Where can I get them? Are the ...
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2answers
58 views

Historical SPX Intraday data with volume

I am looking for historical SPX 1minute data containing volume. Anyone knows where to get them from? Thank you,
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0answers
26 views

Master thesis concerning DAX ETFs

I am currently trying to develop a thesis proposal related to the DAX German index or more precisely DAX ETFs however i am struggling with finding data regarding DAX ETFs, what i wanted to know is, if ...
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1answer
90 views

Backtesting with Level 2 depth of book

I'm new to automated trading. I'm in the process of coding the methodology I've been using manually for a few weeks into a quantitative algorithm using IBKR and Python. I read everywhere I should ...
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2answers
70 views

Wha't the best place to grab historical sophisticated data about stocks?

I am looking for an API which allow me to grab a data about companies & their stocks in the historical perspective. Like not only prices, but let's say balance sheets & cashflow statements ...
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2answers
140 views

How to make a trading universe of liquid futures contracts

I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being ...
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1answer
58 views

Download historical index data, like SP500, using Python. History going back to at least 1960, if not further back

I want to download historical data for different indices. I am using Python for this. I used the following code. ...
1
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1answer
38 views

Historical energy market data for European power Futures and Options?

I have been trying hard to find some historical futures and options electricity data for EEX offerings. I need the data for a model I am writing, however I have not found any free resources so far. It ...
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0answers
86 views

Download historical MSCI/GICS Sector Index data

Similar to Where do I get historic performance data of the MSCI World Growth/Value index, I'm looking for historical data for the MSCI Sector Indexes (Energy, Material, Industrials, Financials and so ...
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1answer
62 views

Historical S&P 500 OPTION data on WRDS, no access to Option Metrics

I'm looking for historical data of S&P500 options. I have access to Wharton Research Data Services (WRDS), however, my university does not provide access to Option Metrics. Is there another way ...
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0answers
32 views

Where to retrieve financial data? [duplicate]

I am struggeling finding an updated list of free sources for historical financial data. My main interest is for intraday european stock markets data and companies' fundamentals data, but it would be ...
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0answers
19 views

How are the return values in BatchGetSymbols calculated?

I have retrieved price data of SP500 stocks using BatchGetSymbols library. When I view the dataframe I see there are calculated return columns in the dataframe as seen in the following picture: ...
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0answers
32 views

What is the difference between quotes and candles?

Actually I have a software development task to develop a little web app that could analyze some liquid stocks quotes considering OHLC values. So I'm researching some OpenAPI where I have found a ...
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0answers
29 views

Free resource to pull historical market cap data in Python? [duplicate]

I am trying to replicate the Russell 1000 with the top 25 stocks using a capitalization weighted method. I can pull historical price data from pandas(yahoo or quandl) with no problems. I need to pull ...
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1answer
79 views

Is there an API that can return the current market cap of a publicly-traded company?

I am trying to find an API which will return the current market cap of US stocks for a financial data visualization project, and I haven't had much luck finding anything. Preferably, I'd like to have ...
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2answers
143 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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0answers
74 views

API that could be used for Dividend Growth years calculation?

I am trying to find API that gives historical info about dividend payouts from the very beginning of the companies or more or less so. I tried AlphaVantage, but it gives info only until 1999. For AT&...
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1answer
67 views

Aggregating quotes data for different time frames

I need to aggregate data for a higher time frame. I have data for 1 min time frame as follows ...
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0answers
18 views

How can I download quarterly fundamentals of listed companies for the last 10 years+ using Python without charge? [duplicate]

There is a package in Python called yfinance which allows me to download the fundamentals of listed companies from yahoo for the last 5 years (Annual). However I would like to have data over a longer ...
1
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1answer
129 views

Interest Rate Swap curve: CMS vs. OIS?

I'm working on a project where we're trying to create a database model where we can (daily) update collected data in order to make RPA predictions. We received data from Interest Rate Curves called ...
3
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1answer
123 views

time series data modeling for deep learning

what is the best format to feed the input data, which are time series with varying density over time, to a deep learning network, while at any iteration we want to feed a batch of data including a ...
1
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1answer
80 views

S&P 500 dividend data [closed]

I could not find S&P 500 dividend data on S&P 500 official site. Does anybody know where to find it?
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0answers
44 views

Permanent stock referencer

I am building a data set of stock market data and was wondering how (what algorithm) to use (internally) to assign a key to each stock so that they key will remain the same always (tickers change and ...
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2answers
227 views

Missing data in historical simulation VaR

A historical simulation approach to VaR estimation relies on the availability of historical data. What do we do when there is no data (say, spot price and implied volatility surface) as, for example, ...
3
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0answers
66 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 ...
1
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1answer
149 views

Anywhere to find historical float shares (or restricted shares) of US stocks?

I'm trying to collect the historical stock float data, but can't find it nowhere. We can easily find historical quarterly shares outstanding data in sec edgar, and we know that floating stock = ...
1
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1answer
4k views

Where to get MSCI World Index constituents (+ weights)

Where can I download The MSCI World index constituents and their weights (daily update) The current prices of the constituents plus three years of EOD (or weekly) history Corporate actions of the ...
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1answer
51 views

Why files in this SEC filing is not downloadable?

Quarterly report for MC Donalds has list of documents but there's no way to download it. It has only one text file available for the download. How the other documents could be downloaded, like the "...
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0answers
52 views

Day OPEN = prior day CLOSE in S&P 500 index historical data

There is a phenomenon in the historical data of the S&P 500 index, of extended periods with repeated occurrences of 'today's open = yesterday's close'. It could have made sense had it been the ...
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0answers
100 views

Why does Yahoo finance give wrong data? [duplicate]

I'm using yahoo finance to download data for a ticker called ISF.L (it's a London based etf tracking the ftse 100). Url : https://uk.finance.yahoo.com/quote/ISF.L/history?period1=1403823600&...
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2answers
267 views

Best practice when computing beta coefficient

I was wondering how one should choose parameters such as "frequency" of returns (daily, monthly etc.), "time frame" (1 or 3 or 5 years of historical data etc), benchmark (same of the portfolio or the ...
0
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1answer
226 views

Historical Simulation of Bond, Stock and Option Portfolio

If I have a portfolio consisting of 1-one stock of unit price equal to S, 2-one 9% coupon American bond with 20 years to maturity and a par value of $1000, 3-and one European call option on the ...
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1answer
98 views

Getting Dow Jones 30 components data

I'm trying to get the Dow Jones Industrial Average 30 Components data (open, high, low, close prices) from 2008-01-01 to 2018-12-31. I tried at first Quandl, but it seems that the data was no longer ...
2
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1answer
101 views

Options on EuroStoxx Dividend Futures Data

Does anyone know where I could buy, scrape, or barter this data? Just need closing prices for each available strike going back as far as possible.
1
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0answers
33 views

Error in Yahoo! adjusted prices - The case of AAPL [duplicate]

One of my students reported that return for AAPL between April 30, 2014 and June 30, 2014 was different than what was shown in my class notes which were prepared in early 2016. I investigated the ...
0
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1answer
74 views

DATA for Backtest [duplicate]

I am a retail trader and i am looking for a data set that comprehends all us equities, ETF's, ADR's and indices going back at least to January 1st 2007. Data would need to be split + dividend ...
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0answers
22 views

Indian Securities Sector and Industry performance history data [closed]

I am looking for data of Indian Industries and Sector's performance historical data for each and every date for over the last 10 years period of time. If it is not available, Could I get every month-...
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1answer
2k views

How to get historical daily index values from Bloomberg Terminal?

I found a lot of questions asking about index returns and index constituents, however, i'm looking for just daily closing values for certain Total Return indices. (FTSE/MSCI/BBBarclays) - these are ...
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0answers
49 views

Historical options data for FX/FI

I know that my question is quite large and that quite a lot of questions already deal with the options data. However most of questions deal with options on American equity markets. Could you ...
1
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0answers
51 views

Stock spilt not reflected in historical data

According to this article, Apple's stock split 7:1 on June 9, 2014. The stock supposedly closed at around \$645 on June 6 and was supposed to open at around \$92 on June 9. I confirmed that a split ...
3
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3answers
168 views

Where can I get historical data for crypto currencies with one minute interval?

Where can I get historical data for crypto currencies with one minute time intervals? I tried to use CCXT, but the exchanges I tried have minimum 5 minute interval or some other limits.
0
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1answer
147 views

Keep Saved IB Historical Data Accurately Adjusted

How have you dealt with adjusting saved historical data, specifically using the IB API? As far as I can tell, currently, I need to perform the calculations described on Quandl's blog. I haven't ...
1
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1answer
177 views

Should there be a relation between stocks when used as input data for integrating Technical Analysis with Machine Learning?

I'm integrating Technical Analysis with Deep Learning for the first phase of my research. I wanted to know how should I pick (or group) stocks as input data and whether there should be relation ...
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0answers
30 views

Which stock price to take for historical ratios in stock screener (EPS etc.)?

We are currently testing a stock screener that we built and want to implement historical ratios in there too - this is working already for all ratios that don't require stock prices (so all ...
3
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2answers
163 views

Does historical backtest data mean anything? [closed]

Sorry for this being a basic question. If I take a stock’s historical data and check for some rule I have found to buy/sell = what happened if I bought and sold this stock according to this rule in ...

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