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Questions tagged [historical-data]

Questions related to obtain a long history of data.

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Is Bloomberg's global equity data sufficiently high quality that it can be used for backtests?

I have used other data sources like CIQ, CRSP / Compustat, and Refinitiv. While each has issues, the data were sufficiently high quality that reasonably reliable backtests could be run. I may need to ...
Deets McGeets's user avatar
3 votes
0 answers
89 views

Repo/SL rates historical data

Is there any data source for historical repo and/or securities lending (SL) rates on different asset classes, or indices which seek to measure such costs? I am not looking for granular data at ...
Daneel Olivaw's user avatar
3 votes
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178 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 ...
moezelot's user avatar
2 votes
0 answers
129 views

Is there daily SPX level data going back to 1927?

While attempting to model the SPX index over time, I found a source here that purportedly has historical daily SPX data going back to 1789 which very likely seems to be backcasted since the ~500 stock ...
QMath's user avatar
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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 ...
hohner's user avatar
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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)....
danabb's user avatar
  • 21
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1k 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 ...
zsljulius's user avatar
  • 660
2 votes
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114 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 ...
Homunculus Reticulli's user avatar
2 votes
0 answers
84 views

Is there any research available on profile of the market participants in different markets?

I know markets are by large anonymous, is there any current research or data sources publicly available across different exchanges and/or investment instruments on the profiles of their investors? I ...
Kimmo Hintikka's user avatar
2 votes
0 answers
59 views

Given (past) stock values for N assets, how to find the maximum - theoretical - profit?

In the past few days I have been thinking about a question which seems trivial, yet I can't think of any efficient way to find the optimal solution... Here is the problem: imagine you have a ...
Federico's user avatar
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3k views

Downloading high-frequency data: S&P 500

can I ask you where am I doing something wrong when downloading high-frequency (5-min) S&P 500 data ("USA500.IDX") from https://www.dukascopy.com/swiss/english/marketwatch/historical/ and when ...
Andrew's user avatar
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0 answers
245 views

How to Handle Error in SEC Filings

Sometimes I see obvious errors in the 10-K or 10-Q filings that appear to go uncorrected in subsequent filings for the same period. For example, on June 9, 2014 Apple, Inc. did a 7-to-1 stock split. ...
mbmast's user avatar
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54 views

How to make a historical index of a group of materials in which the set of materials changes every month?

The question may sound simple however for the moment it is a brainteaser to get it right, let me explain: the exercise is to be done on +/- 200 groups of materials (matgroups) one matgroup can ...
Kurt Rosseel's user avatar
2 votes
1 answer
158 views

Where to find Investment home bias data & Historical country weight in World MSCI

I need the following data and struggles to find it, maybe some of you can help me. Note: I'm a student and in our university ain't Bloomberg nor Reuters. Investment home bias, e.g in 2012 US ...
michael's user avatar
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0 answers
79 views

Where can I get historical intraday pre/post market data for indices?

I've done a lot of research and can't find any place that allows me to export this data. I know ProRealTime has it, but can't export the data. I've read some threads about people web scraping the data,...
Hercules' Creed's user avatar
1 vote
0 answers
108 views

CME historical data of futures prices

Does CME provide any mechanism to freely download historical futures quotes for different futures traded there e.g. Henry hub NG? I am looking for EoD data.
augustine's user avatar
1 vote
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147 views

Shortcut for cutting portfolio volatility

When calculating the portfolio's historical volatility, do I need to factor the volatility of each asset individually and then do a covariance calculation or can I get away by measuring the volatility ...
user1234's user avatar
1 vote
0 answers
287 views

Getting list of all tickers ever in NYSE and NASDAQ

Is it possible to obtain a list of all of the stock tickers that have ever been used in both NYSE and NASDAQ? I have tried searching the web and might have a potential solution with Mathematica's <...
Physics Penguin's user avatar
1 vote
0 answers
64 views

Data for Japanese options

I'm working on an academic project that requires data for options tracking ~300 large Japanese stocks between 2010$-$2020. The standard data source I've seen quoted in academic papers is OptionMetrics,...
lithium123's user avatar
1 vote
0 answers
54 views

Data on historical, cross-country REAL yield curves (i.e. inflation-linked bonds)

I asked here about data on a data source for historical yield curves for many countries. Many central banks (linked there, in Helin's answer) publish estimates for their nominal yield curves. But most ...
bhalperin's user avatar
  • 113
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Are the monthly risk free returns on the French data libary website annualized?

when using the monthly Fama/French 3 Factors .csv file on the French data libary web site, it is possible to see that the left column includes the monthly excess return of the market (Mkt-RF) and the ...
StatistikDude's user avatar
1 vote
0 answers
241 views

Are there any best practices for designing high frequency trading systems?

I spent some time trying to design some parts of the system, going over the information I found. At the top-level, the system looks like this A "real-time" module that receives market data, ...
May Flower's user avatar
1 vote
0 answers
484 views

Seeking historical market cap for S&P 500 by sector

I'd like to obtain the historical market capitalization for the S&P 500. I'm seeking monthly data back to 1945. I'd like to examine only non-financial stocks, so the sector would be needed as well....
rajah9's user avatar
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1 vote
0 answers
93 views

What should be the minimum length of historical data used for analysis?

What should be the minimal length of historical data to do "practical" portfolio analysis to achieve "sane" results? There are several questions here on what should be done when a ...
ruslaniv's user avatar
  • 161
1 vote
1 answer
131 views

Historical data for 3 month and 6 month lows for NYSE or Nasdaq

I'm trying to find the historical data for 3 month or 6 month lows. Thinkorswim has it (NYLO3M) and barcharts.com has it (M3LN) but they don't match...and thinkorswim only goes back to 2012. Does ...
user749798's user avatar
1 vote
0 answers
72 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 ...
vonjd's user avatar
  • 27.5k
1 vote
0 answers
364 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 ...
davidtgq's user avatar
  • 111
1 vote
0 answers
635 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 ...
TobKel's user avatar
  • 111
1 vote
0 answers
83 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 ...
user189035's user avatar
1 vote
0 answers
138 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 ...
DomingoBrown's user avatar
1 vote
0 answers
88 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 ...
Vivek Subramanian's user avatar
1 vote
0 answers
39 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 ...
HLus's user avatar
  • 81
1 vote
0 answers
96 views

Missing sequence numbers in TAQ Quote data

I am looking at NYSE sample TAQ Quote data for Apple stock (link at the bottom of the post) and I have noticed large discontinuities in the data intervals. For example, these two are two succesive ...
ragoragino's user avatar
1 vote
0 answers
44 views

Feedback on Video Metadata Extraction

I've developed/patented a metadata extraction methodology, which we've used to build a variety of alternative datasets for funds. One of the more difficult issues in this field, is getting useful ...
J. Garcia's user avatar
1 vote
0 answers
133 views

Where can I find bonds time series?

I want to study dependence and correlation between bonds and CDS. I have already found a large CDS database of time series there: www.datagrapple.com I am looking for such a similar database (with an ...
mic's user avatar
  • 281
1 vote
0 answers
119 views

Real Time/Historical weather data

I am looking to incorporate weather data into my algorithmic models. What is a good source to find historical + real time weather data by zipcode or region? Any help will be appreciated! Preferably an ...
Dez Udezue's user avatar
1 vote
0 answers
57 views

Historical UK Gilt 2-year and 5-year data

Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
Celeste's user avatar
  • 330
1 vote
0 answers
1k views

where to find historical option prices?

I have a dataset of options (traded in European exchanges such as NYSE Euronext) and I would like to find their price history. Where to find it? I see that ...
ℕʘʘḆḽḘ's user avatar
1 vote
1 answer
481 views

Interest Rate Swap curve: CMS vs. OIS?

I'm working on a project where we're trying to create a database model where we can (daily) update collected data in order to make RPA predictions. We received data from Interest Rate Curves called ...
sasha's user avatar
  • 21
1 vote
1 answer
177 views

Where to Find Historical Earning Event (Quarterly Figures Dissemination) Dates?

I am looking for a data source / database that holds historical (10 years, better 20 years) dates of US and European stocks: I need the historical date when the quarterly (or annual) fundamental data ...
user27875's user avatar
  • 111
0 votes
0 answers
31 views

Where to get 13F data in excel format?

I am trying to do a project and analyse 13F data from some most followed fund managers or individuals (e.g. Michael Burry). However, I couldn't find anywhere where I can get the data in a properly &...
Kai's user avatar
  • 123
0 votes
0 answers
35 views

India 10yr Government security/bond yields

Which sites can provide historical data for India 10year government security which is monthly. Im assuming yield implies total return data (including dividends/interest) reinvested. Im a newbie so pls ...
nandonachi's user avatar
0 votes
0 answers
44 views

Is there any way to view historical data on market capitalization?

Is there any way to view historical data on market capitalization? I would like to calculate a market capitalization weighted index with only the top 10 nasdaq stocks (like nasdaq 10). I have tried ...
nokemono's user avatar
0 votes
0 answers
50 views

Index reliability/source for yahoo finance

I had a small question regarding the reliability of the data on Yahoo Finance, I know that this source is full of flaws but it has the enormous advantage of being free. I had a question regarding the ...
Wick's user avatar
  • 1
0 votes
0 answers
27 views

Black scholes, issues inferring T(time to expiry) andS (underlying price)) from wrds SPX dataset

I'm working on a project with the SPX option data from wrds. This data doesn't provide the underlying price at the time of the observation, or the time to expiry at the time of the observation. ...
steve_nash's user avatar
0 votes
0 answers
35 views

Accuracy/Quality of financial data: revised financials or historical financials?

I am currently working on calculating financial metrics, particularly Free Cash Flow to Equity (FCFE) etc., for investment analysis. In the context of financial analysis, I'm wondering which set of ...
Dominik's user avatar
0 votes
0 answers
60 views

Data separation for Time Series Models? (both Statistical and ML)

I had a big question about data slicing for Time-Series model fitting. In university, since I wasn't a stats major, so I didn't do much model fitting for data, other than my ML class, and have ZERO ...
matthewzz's user avatar
0 votes
0 answers
31 views

Searching for minute binned OHLCV Cryptocurrency data from 5 January 2018 to 7 September 2018

As the title states, searching for OHLCV data (USD) from the dates listed for these coins: [ADA, BCH, CVC, DASH, EOS, ETC, ETH, LTC, MANA, OMG, BCN, BTC, CND, DATA, ETP, GNT, NEO, NXT, QASH] I'm a ...
Jackson Thorn's user avatar
0 votes
0 answers
79 views

Backtesting: choosing the "sample split" between in-sample and out-of-sample data

Aims: Given approximately 11 years of historical time-series data, to determine how much of this data should be reserved for in-sample and ...
p.luck's user avatar
  • 131
0 votes
0 answers
37 views

How do I estimate volatility for MPR historical data

How can I estimate volatility with historical data for Monetary Policy Rate (MPR) to use in a short rate model? I could use regular techniques like simple standard deviation or max likelihood, but the ...
Oliver Mohr Bonometti's user avatar