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Questions tagged [historical-data]

Questions related to obtain a long history of data.

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Sampling dollar bars for a machine learning model

I'm trying to understand the rationale behind using information drive bars over traditional time bars and specifically when it comes to practically feeding those in to a machine learning model to run ...
PlatinumMaths's user avatar
2 votes
3 answers
826 views

Backtesting Option Strategies with IV Data Only

I’ve tried to find a good answer for this but had no luck so I’m bringing it here: potentially beginner question, but how much accuracy would I be sacrificing by backtesting an options strategy with ...
benjabee10's user avatar
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106 views

how to adjust very old stock price correctly

lets say that i have a file stating a stock and the price which someone paid for it and the date. for example: apple (AAPL) 422$ 15/11/2011. now apple have gone through many splits and possibly public ...
Matan's user avatar
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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
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1 answer
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Memory effect of log returns of S&P 500

I am trying to reproduce the analysis discussed in https://arxiv.org/pdf/cond-mat/9905305.pdf where they use high-frequency data (1-minute frequency) of S&P500 from 1984 to 1996. In particular, ...
apt45's user avatar
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What kinds of data should be curated for day trading?

From previous research about data curation with research papers, it seems to me that most algorithmic trading systems (at least in regards to day trading) solely use historical price data- but I'd be ...
johndoedodgytoe's user avatar
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655 views

S&P 500 historic high frequency data

I am trying to reproduce the analysis discussed in https://arxiv.org/pdf/cond-mat/9905305.pdf where they use high-frequency data (1minute thick) of S&P500 from 1984 to 1996. In particular, I want ...
apt45's user avatar
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2 votes
2 answers
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On moving Linear Correlation (rolling correlation)

Let's say I have two random variables $X$ and $Y$ which each represents the daily returns of two given stocks. I can easy calculate their (total) correlation by finding their covariance matrix $\Sigma[...
Mr. N's user avatar
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Where to get datasets on stock market events/regimes and dates of them?

I am looking for a dataset that gets all events and regimes in the stock market (i.e. an event like 9/11 and a regime like Bush's presidency) and the start and end date of each item's effect on the ...
worldCurrencies's user avatar
1 vote
1 answer
188 views

How do you identify top shareholders in SEC filings?

Schedule 13D is filed when a shareholder crosses 5% ownership and 13F is filed by fund managers to list their portfolio holdings. These are the only filings that I am currently aware of related to ...
limestreetlab's user avatar
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1 answer
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Historical Fundamentals Data for Sectors

I am interested in a one-time download of GICS sector (e.g. XL- etfs) historical fundamentals data (in particular, point-in-time price/book ratios). Does anyone know where this can be found? I am ...
rubikscube09's user avatar
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Big differences in Yahoo data contra Euronext, why? [duplicate]

Downloaded all historical data for Oslo Stock Exchange from Yahoo Finance (yfinance), and picked a random stock to check if the data corresponds with what I see on different newssites. If I look at ...
Hills's user avatar
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2 answers
314 views

Long historical time series of Treasury bond returns

I am looking for a long time series of US Treasury bond returns (or index values). The problem with standard indices is that they go back to at most the 1980s, while I would like to also see the ...
fes's user avatar
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2 answers
252 views

Getting US equity data for commercial use?

If you were a hobbyist in the process of building a subscription site that people are willing to pay for, how would you get US equity data in a commercially available form? I just need EOD delayed ...
tpow67's user avatar
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256 views

Bitcoin data (minutes time frame)?

Where can I find a correct data of BTC/USD with a minute time frame? I've downloaded a minutes data from this site I've compared (with the original one from the exchange Binance) the last day (from ...
Carlo's user avatar
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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
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1 answer
335 views

Historical Options data

Are there any good sources where I can obtain daily historical options data (strike price, expiration dates, bid/ask spread, etc). I understand that this type of data is very hard to come by and ...
Nishad V Seeraj's user avatar
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1 answer
2k views

YFinance incoherent daily and hourly values

I'm comparing daily and hourly values extracted from YFinance in Python. I'm expecting the open value of the first hour of the market to be equal to the daily open value of the corresponding day, and ...
Luca Mastrostefano's user avatar
1 vote
1 answer
58 views

Search for historical balance sheet data

I would like to run backtests on swedish companies. How I can retrieve historical balance sheet data?
Ramon Medeiros'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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12 votes
1 answer
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What's the most efficient way to store options and time series data for backtesting?

I would like to know what database would you guys use for storing around 500GB-1TB of options and time series tick data. The idea is to use it for backtesting so it would have to be as efficient as ...
edd's user avatar
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1 vote
0 answers
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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
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1 answer
170 views

Sources for historical financial ratios?

I wanted to know if there are any sources for historical financial ratios for Indian equities? If yes please share. Thank you.
Stupid_Intern's user avatar
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0 answers
540 views

Historical component changes of EURO STOXX 50 index

I would like to download the historical component changes of EURO STOXX 50 index to conduct an academic research. That is, I would like to know the historical changes to the composition of these ...
zcbcpaoa's user avatar
1 vote
1 answer
1k views

How to get Adj.Open, High and Low prices?

I am trying to get adj.Open , adj.High and adj.Low prices. Most data sources like yahoo and google finance provide only adj.close price. Is it possible to derive other adj. prices using close and adj....
Stupid_Intern's user avatar
0 votes
3 answers
2k views

Where can I find complete historical lists of companies on major US exchanges for backtesting?

I am backtesting a trading strategy on historical US stock data. I'm currently sourcing data from S&P's Capital IQ. I have no trouble getting stock price data for a specific company. I also have ...
Kevin Roche's user avatar
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
3 answers
413 views

Find current and historic (15 years) delistings in the US stock market

I wonder if there is any source for the following information concerning stock delistings in the US stock market: date and stock symbol of the delisting (required) covers at least 15 years history (...
meberhard's user avatar
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0 answers
46 views

Perfect in-sample size for out-sampling volatility prediction (EGARCH(1,1)

I have a few questions regarding in-sample size for volatility forecasting in EGARCH(1,1). I'm currently sitting with a dataset consisting of 1387 trading days of the S&P-500 index. I would like ...
Sebastian Strauss Hansen's user avatar
6 votes
2 answers
739 views

Algorithm / source to calculate historical expiry dates of futures

I can find several source on this site where to find expiry dates of coming futures contracts. I am looking for a (e.g. Python) algorithm or a data source where I can find historical dates when a ...
user312087's user avatar
2 votes
2 answers
432 views

Deciding (p,q) in garch and model test on empirical data

I'm currently working on a dataset containing data from the 29 January till the 29 July 2009. In the dataset I have prices of the S&P 500 index for all days. Furthermore, I have the implied ...
Sebastian Strauss Hansen's user avatar
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0 answers
48 views

Adjusted close time series: Frequency of historical updates

When working with stock market data for strategy / analysis purposes, I am well aware that I have to distinguish between unadjusted and adjusted prices. I understand that historical adjusted prices ...
Kermittfrog's user avatar
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0 answers
47 views

Where to find Historical price data (csv preferable) for global Gov bonds and markets. All dollar denominated?

I'm doing a lengthy backtest on a certain portfolio and i've managed to get FTSE 100 data going back to 05-30-1990, where could I find data for global Government bonds going back to that date? A csv ...
Thomas Hegarty's user avatar
1 vote
1 answer
3k views

Bloomberg python API - intraday tick/bar request for options?

Is it possible to request intraday tick/bar data for a particular option (e.g. AMC 4/30 10c @ $0.91) with the python bloomberg BLPAPI? I've managed to do pull intraday tick data (with ...
des224's user avatar
  • 93
0 votes
3 answers
492 views

Historical Ticker Symbols Data Source (for Creating Tradable Universe)

I would've guessed this question would have been answered somewhere on here before, but I have been going down rabbit holes for days trying to figure it out with no luck... I want to backtest ...
Kyle M's user avatar
  • 1
2 votes
0 answers
336 views

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
  • 71
2 votes
1 answer
83 views

What are the eurozone bond indices? And where can I find them?

I am trying to calculate the performance of a portfolio of fixed-income funds domiciled and operating exclusively in Europe through a multi-factor model. To do this I need historical data of several ...
Frank Platania's user avatar
0 votes
1 answer
149 views

How do I get European tick size or historical intraday opening and closing prices?

I'm looking for each European stock, the tick size. Given that obtaining this information directly is difficult (I don't think that databases, even the ones for academic purposes provides this ...
Marco's user avatar
  • 1
0 votes
0 answers
176 views

I require help to find a good data source for my thesis

I require help to find a good data source for my master thesis. I am doing a regression analysis for macroeconomic indicators and valuation multiples, for eurozone stocks. I need quarterly information ...
David Bock's user avatar
1 vote
1 answer
72 views

should I persist the daily/weekly bar data

Suppose a small quant group (4 guys) and the tick data is in hand, shall they persist the historical daily/weekly or even smaller scale like hourly/minutes bars data, or just do the on-demand ...
Xavier Hou's user avatar
1 vote
2 answers
568 views

Storing options EOD time series in Flat Files

I have purchased data for EOD settlements of options prices for USA futures for personal use. I will not need multiple user access or real time access. I am not an expert programmer but use C# and R ...
cvmn0207's user avatar
2 votes
1 answer
583 views

Historical intraday dataset with penny stocks with a gap-up of 10% or above

I am trying to find intraday datasets of pennystocks. My criteria for the dataset is that it needs to only contain pennystocks where the gap-up was 10% or above. I am looking for a free option but ...
Elias Knudsen's user avatar
1 vote
2 answers
240 views

Recreating Bid-Ask from Transactions data

A database only has transactions/trades for a given instrument. In order to recreate bid-ask of the instrument to estimate the average bid-ask spread, what process does one need to follow? what are ...
shoonya's user avatar
  • 141
0 votes
0 answers
121 views

Modeling electricity prices ($/kWh) for Simulation

I want to run a Simulation in Matlab that involves the running costs of an electronic device which consists of the power consumption of this said device. The simulation should run for the next 1-5 ...
Arely's user avatar
  • 1
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
1 answer
482 views

Historical Constituents S&P 500

In order to backtest a few strategies I'm searching for a (free) csv/excel file of tickers included in the s&p 500 during specified years (say, 1970). Do you happen to know where I can find ...
Nathan's user avatar
  • 31
2 votes
2 answers
424 views

Yahoo finance forex prices

Good morning, I apologize for my poor english, I'm not an expert and I need your help... do you know how daily prices are calculated on Yahoo Finance Historical data? Let me give you an example, if ...
Luigi's user avatar
  • 21
0 votes
0 answers
451 views

Calculate VaR using method of historical simulation

A bank invests € $1.000.000$ in a hedge fund. The last 500 daily returns can be taken from a database. The worst 20 returns are -4.58 -2.95 -2.95 -2.93 -2.17 -2.08 -2.06 -1.98 -1.94 -...
obvth213's user avatar
0 votes
1 answer
364 views

Covariance matrix for historical series w/ different start and end dates

I am trying to compute the variance-covariance matrix of my portfolio composed by some shares of different companies. I would select a time horizon of two years but for some shares of one company I ...
Fabio's user avatar
  • 33
0 votes
1 answer
521 views

What is the formula for calculating adjusted closing price after a rights issue?

I know how to calculate adjusted closing prices in case of splits, dividends, etc but I'm not able to figure out how it's done in case of a rights issue.
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