Questions tagged [historical-data]

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16 views

Where can I find historic company fundamental data forecasts?

There's seems to be many sources (these questions have a nice answers/summaries historic fundamentals data sources ) having company historic fundamentals such as earnings, PE etc. However, there's a ...
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2answers
49 views

Historical Ticker Symbols Data Source (for Creating Tradable Universe)

I would've guessed this question would have been answered somewhere on here before, but I have been going down rabbit holes for days trying to figure it out with no luck... I want to backtest ...
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28 views

Scale price and returns

Through Bloomberg I have downloaded some data related to the Bloomberg Euro Aggregate Bond Index, however I think I am wrong. I was convinced to have taken the historical prices of the index (in ...
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48 views

Are there any APIs to retrieve stock buybacks and dividends to calculate ERP?

I'm in the process of building a Python library to value stocks using a FCF model and one of the first steps is calculating an implied equity premium. I know there a few ways of doing this, but ...
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1answer
49 views

What are the eurozone bond indices? And where can I find them?

I am trying to calculate the performance of a portfolio of fixed-income funds domiciled and operating exclusively in Europe through a multi-factor model. To do this I need historical data of several ...
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16 views

As reported financial statements historical data [duplicate]

May I request for suggestions on data vendors for historical as reported fundamental data? For example as reported eps, as reported revenue, as reported depreciation and amortization expenses? I tried ...
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1answer
38 views

How do I get European tick size or historical intraday opening and closing prices?

I'm looking for each European stock, the tick size. Given that obtaining this information directly is difficult (I don't think that databases, even the ones for academic purposes provides this ...
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54 views

I require help to find a good data source for my thesis

I require help to find a good data source for my master thesis. I am doing a regression analysis for macroeconomic indicators and valuation multiples, for eurozone stocks. I need quarterly information ...
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1answer
28 views

should I persist the daily/weekly bar data

Suppose a small quant group (4 guys) and the tick data is in hand, shall they persist the historical daily/weekly or even smaller scale like hourly/minutes bars data, or just do the on-demand ...
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2answers
138 views

Storing options EOD time series in Flat Files

I have purchased data for EOD settlements of options prices for USA futures for personal use. I will not need multiple user access or real time access. I am not an expert programmer but use C# and R ...
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1answer
125 views

Historical intraday dataset with penny stocks with a gap-up of 10% or above

I am trying to find intraday datasets of pennystocks. My criteria for the dataset is that it needs to only contain pennystocks where the gap-up was 10% or above. I am looking for a free option but ...
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2answers
116 views

Recreating Bid-Ask from Transactions data

A database only has transactions/trades for a given instrument. In order to recreate bid-ask of the instrument to estimate the average bid-ask spread, what process does one need to follow? what are ...
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50 views

Modeling electricity prices ($/kWh) for Simulation

I want to run a Simulation in Matlab that involves the running costs of an electronic device which consists of the power consumption of this said device. The simulation should run for the next 1-5 ...
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1answer
66 views

How do you read a 10k report to find out a companies yearly revenue?

As you know, there is a document that companies submit to the Securities and Exchange Commission (SEC) about the financial status of their company. It is generally available publicly, and I have ...
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61 views

Historical data on valuations for internet companies during dot-com bubble

I am looking for data on historical valuations for internet companies during the years of the dot-com bubble (2000 - 2002). I know that big auditors have or at least have access to such data on ...
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1answer
69 views

Historical Constituents S&P 500

In order to backtest a few strategies I'm searching for a (free) csv/excel file of tickers included in the s&p 500 during specified years (say, 1970). Do you happen to know where I can find ...
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33 views

Help getting 1-min historical data (suds object) from BarChart into Pandas Dataframe

I've been searching around and haven't found what seems like an easy task to get historical data from the BarChart API into a Pandas dataframe with the index set as the time stamp. Here's a few ...
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48 views

Yahoo finance forex prices

Good morning, I apologize for my poor english, I'm not an expert and I need your help... do you know how daily prices are calculated on Yahoo Finance Historical data? Let me give you an example, if ...
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51 views

Calculate VaR using method of historical simulation

A bank invests € $1.000.000$ in a hedge fund. The last 500 daily returns can be taken from a database. The worst 20 returns are -4.58 -2.95 -2.95 -2.93 -2.17 -2.08 -2.06 -1.98 -1.94 -...
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1answer
82 views

Covariance matrix for historical series w/ different start and end dates

I am trying to compute the variance-covariance matrix of my portfolio composed by some shares of different companies. I would select a time horizon of two years but for some shares of one company I ...
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21 views

Availability of historical data on variance swaps [duplicate]

I want to do research on variance swaps. Where can I get/buy historical data (other than Markit)?
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1answer
107 views

What is the formula for calculating adjusted closing price after a rights issue?

I know how to calculate adjusted closing prices in case of splits, dividends, etc but I'm not able to figure out how it's done in case of a rights issue.
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2answers
64 views

List of public US (NYSE, Nasdaq) companies that filed for bankruptcy in the last 10 years

I am working on a Data Science project on bankruptcy prediction. I am looking for a list of listed US companies that filed for bankruptcy in the last 10 years but I am really struggling to find any ...
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2answers
51 views

How to get commodity futures settlement timepoints?

I need to find some easy approach to get the daily settlement times (not the exact milisecond, just the general rule hh:mm) for multiple commodity futures (agriculture, metals, energy) on multiple ...
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72 views

How to merge Trade ticks with Bid_Ask ticks from IB API reqHistoricalTicks, like the Time&Sales window?

reqHistoricalTicks returns data with 1 second precision, so only looking at timestamp is not enough to merge them. But it seems that the Time&Sales window in ...
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3answers
78 views

SEC Rule 611 Trade Through (OHLC Data Distortions) - with visual example

Has anyone ever quantified or understand the impact of distortions to the High/Low of the day based on SEC Rule 611 pass through trades? These are trades that happen outside NBBO (national best bid ...
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3answers
316 views

Implied Volatility - Historical data

I'm wondering if there's a place where I can find free or very cheap historical implied volatility data. Specifically, I'm looking to get at least a few years' worth of daily IV data for maybe a few ...
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2answers
148 views

How to calculate monthly returns in R for every company in a dataset of 4000 companies?

I want to calculate monthly returns for a time series of 4000 companies between 2014 and 2019. This is how my dataset looks like I'm using the following code to calculate the returns nyseamex <- ...
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33 views

Is there no fix to improving portfolio risk estimation under small sample size?

When asked if copula are needed to calculate portfolio Value-at-Risk, it is said that "You can use historical method if you have sufficiently enough data". But actually copula are also ...
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2answers
91 views

Implied volatility data

I am looking for historical implied volatility data, and I see that QUANDL has this data from two sources - ORATS and Quantcha. I was wondering if people have any views on which data is higher quality ...
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2answers
61 views

Is there an API for retrieving up-to-date intraday 1 minute bar data by Date AND Time ranges?

I'm looking for an API that has an endpoint for fetching 1min bar data by Time in at least a minute of precision as opposed to just by date.
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84 views

How to download stock time series for multiple companies in Eikon?

I want to download several historical stock price histories from Eikon at once. This is the stock data of several hundred companies. Therefore, it is far too time-consuming for me to download them all ...
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1answer
84 views

How to up-sample monthly returns into daily returns?

I know how to down-sample daily returns (large-sample data) to monthly returns (small-sample data) by using rolling windows, which feels like estimating a sub-sample from the population (something ...
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1answer
44 views

Any database with all of companies previous CEO's?

I'm doing some research on CEO's and company chairmen and I'm looking for a database that contains this data for all the public US companies. The data needs dates associated with the names as well. I'...
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1answer
50 views

I have missing data on my portfolio weightings but it can be solved through stock prices - how can I code to find this? [closed]

firstly I would like to say sorry for the title - its not the best. In fact its crap. Here is my problem (I am new to coding btw - still learning) I am using Python on my MacBook - using Terminal. I ...
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29 views

Obtain order level data for German stocks

in the context of my dissertation I am working on high frequency trading and would like to investigate its effects on the German stock market. For this purpose I will need the order activities of a ...
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1answer
106 views

where to find historical ticker data for securities no longer in s&p 500 index?

im looking for the complete intraday ticker data time-series for a number of securities that formerly were part of the s&p 500 index. eg. PGN, Progress Energy Inc, removed from index 2012 because: ...
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1answer
91 views

How important is the chronological ordering of historical returns?

The returns of asset $A$ in chronological order are 0.03 0.01 -0.04 0.02 0.05 -0.10 0.02 The expected return, or sample mean, is $-0.00143$ while its sample ...
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42 views

Using a rolling mean or median to fill missing values

I have some 1-minute bar data. The first datapoint has time t0 and the last one t1. 99.5% of the data between the first timestamp and the last timestamp is there and 0.5% is missing (NaN values). I ...
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2answers
50 views

Daily US stock price data provider with opening Auction prices

I'm looking for a data provider with historical open auction prices (i.e. not opening trade as found on most providers) for SP500 stocks. This is the price obtained by a MOO order. Thanks.
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19 views

Discrepancy for apple insider trades between Yahoo finance and other sources

https://finance.yahoo.com/quote/AAPL/insider-transactions/ https://www.marketbeat.com/stocks/NASDAQ/AAPL/insider-trades/ Yahoo says there is insider net buying over the past 12 months. Other sources ...
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1answer
60 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
167 views

Is it always better to use the entire distribution of a financial returns series, 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
137 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
73 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
380 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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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
110 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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32 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
281 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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