Questions tagged [historical-data]
The historical-data tag has no usage guidance.
0
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1answer
57 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
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1answer
74 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
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1answer
40 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
45 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
23 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
55 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
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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
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1answer
103 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
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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
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0answers
23 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
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
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0answers
45 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
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3answers
82 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
70 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
163 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
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0answers
27 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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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
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2answers
154 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
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1answer
128 views
Dealing with weekends/gaps in financial data
My script takes some data from IEX and then outputs a pandas dataframe:
...
3
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1answer
477 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
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1answer
365 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
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1answer
133 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
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5answers
561 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
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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
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1answer
112 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
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1answer
63 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
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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
170 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
217 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
52 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
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1answer
616 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
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3answers
137 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
89 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
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2answers
655 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
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1answer
285 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
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2answers
128 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
107 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 ...
4
votes
1answer
112 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
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2answers
325 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
67 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
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0answers
433 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
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2answers
74 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
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1answer
182 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.
2
votes
1answer
479 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
866 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
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3answers
343 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
174 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 ...
4
votes
1answer
97 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
87 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
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1answer
326 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 (...
