Questions tagged [historical-data]
The historical-data tag has no usage guidance.
234
questions
2
votes
1answer
63 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
vote
1answer
35 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?
1
vote
0answers
33 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 ...
5
votes
2answers
147 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
votes
0answers
50 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
vote
1answer
25 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 = ...
0
votes
1answer
46 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 ...
1
vote
1answer
31 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 "...
0
votes
0answers
27 views
Tickers of companies included in Euro Stoxx 600
I'm trying to analyze the historical data of the individual companies that are part of the Euro Stoxx 600 index. For that, I am using a Python code that needs the tickers of the companies. Due to my ...
0
votes
0answers
41 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 ...
0
votes
0answers
16 views
Where can I find historical compos for STOXX?
It's easy to find current members for STOXX, but night impossible to find the historical adds and deletes.
Are there any sources for this data? Scarping/manual works is ok.
0
votes
0answers
27 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&...
0
votes
0answers
42 views
Extended Hours Percent Change
I have created a personal screener application. I would like to add extended hours percent change to my screen. I have been searching all over for premarket and after hours data to help with this. I ...
0
votes
1answer
95 views
Best practice approach for computing beta
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
votes
1answer
83 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 ...
1
vote
1answer
46 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
votes
1answer
51 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
vote
0answers
25 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
votes
1answer
61 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 ...
1
vote
0answers
21 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-...
-1
votes
1answer
346 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 ...
0
votes
0answers
38 views
High-frequency history of oil prices [duplicate]
It's fairly easy to find daily historical oil prices, but I need the history in more detail, at least hourly.
I have access to Datastream, but can't find it there. Is this time series in Datastream? ...
1
vote
0answers
30 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
vote
0answers
35 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 ...
0
votes
0answers
47 views
Historical intraday data [duplicate]
I have been researching on the current APIs that I can request for the most detailed historical end of day intraday quote and trade data available in an easy to use format for research, backtesting ...
3
votes
3answers
92 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
votes
1answer
84 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
vote
1answer
166 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 ...
1
vote
0answers
28 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 ...
0
votes
0answers
17 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 ...
3
votes
2answers
156 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 ...
0
votes
1answer
132 views
Dealing with weekends/gaps in financial data
My script takes some data from IEX and then outputs a pandas dataframe:
...
3
votes
1answer
644 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 ...
0
votes
1answer
515 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 ...
0
votes
1answer
162 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 ...
1
vote
5answers
813 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
6k 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
120 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
67 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
35 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
...
2
votes
1answer
219 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 ...
3
votes
2answers
255 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
53 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
1answer
669 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
3answers
147 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
94 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
901 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 ...
1
vote
1answer
333 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 ...
1
vote
2answers
143 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 ...
1
vote
1answer
120 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 ...
