Questions tagged [historical-data]
The historical-data tag has no usage guidance.
1
vote
0answers
29 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
42 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 ...
1
vote
1answer
42 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
39 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
157 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
23 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
16 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
148 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
105 views
Dealing with weekends/gaps in financial data
My script takes some data from IEX and then outputs a pandas dataframe:
...
3
votes
1answer
318 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
162 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
73 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
4answers
209 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
5k 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
99 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
58 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
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
...
1
vote
0answers
83 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
165 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
48 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
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 ...
0
votes
1answer
517 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
130 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
84 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
373 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
242 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
votes
0answers
79 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
106 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
82 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
96 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?...
1
vote
2answers
206 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
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 ...
2
votes
0answers
341 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 ...
-1
votes
0answers
61 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
votes
0answers
31 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
72 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
116 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
374 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
518 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
288 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 ...
1
vote
1answer
142 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
votes
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
votes
0answers
80 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
248 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 (...
12
votes
4answers
817 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
872 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
votes
1answer
45 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 ...
-1
votes
0answers
55 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
234 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
278 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 ...
