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Questions tagged [historical-data]

The tag has no usage guidance.

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Historical prices and fundamentals for US market with the right to re-publish

I would like to build analytical web-site similar to Yahoo Finance, but can't find the data provider with the reasonable prices. Do you know if there's free datasets or costing <1000$/year ...
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17 views

Storing data streamed using rtd.tos

I have been using rtd to stream stock and option data into Excel. I would like to take it a step further and store the values as they are streamed. Can anyone give ...
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1answer
148 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
21 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 ...
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54 views

Historical data for FTSE World Government Bond Index - Developed Markets

I'm looking for the historical data of the "FTSE World Government Bond - Developed Markets" index. My tries so far: It's easy to find charts. However, I'm looking for the actual data (in CSV format ...
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15 views

suggestion for NDX volatility index prior to 2000

NDX index is available since 1984 in Bloomberg. There's VXN index that represents the implied volatility of NDX, which is available since 2001. I need some index or series that represents implied ...
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2answers
138 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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1answer
97 views

Dealing with weekends/gaps in financial data

My script takes some data from IEX and then outputs a pandas dataframe: ...
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0answers
28 views

What price should be used in calculation of daily return

With OHLC data in hand, what price should be used to calculate the daily return? Some models use daily close price, but I don't think that's a reasonable assumption considering practical changes in ...
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1answer
252 views

What are the known flaws and limitations of OptionMetrics data?

Several researchers are skeptical about the database quality, but their argumentation is somewhat unclear to me. For instance, Constantinides, Jackwerth and Perrakis (2008) (link): [...] we were ...
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1answer
125 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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1answer
60 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 ...
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3answers
149 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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1answer
3k 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: ...
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1answer
82 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)? ...
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1answer
57 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 ...
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0answers
32 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 ...
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0answers
54 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 ...
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2answers
146 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 ...
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1answer
47 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. ...
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0answers
27 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 ...
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1answer
441 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 ...
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3answers
127 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 ...
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1answer
83 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 ...
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2answers
298 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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1answer
218 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 ...
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0answers
62 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 ...
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2answers
102 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 ...
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1answer
66 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
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1answer
86 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?...
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0answers
120 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.
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2answers
161 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
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1answer
66 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 ...
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0answers
301 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 ...
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0answers
57 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 ...
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0answers
28 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 ...
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2answers
70 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, ....
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0answers
109 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.
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1answer
310 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
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1answer
348 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 ...
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3answers
251 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 ...
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1answer
119 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 ...
5
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1answer
90 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) ...
2
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0answers
76 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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1answer
224 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 (...
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4answers
676 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 ...
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2answers
829 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 ...
2
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1answer
43 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 ...
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0answers
53 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?
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1answer
217 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 ...