Questions tagged [market-data]

Market-data includes all questions relative to data acquisition for the different financial products. It can also include questions about how market data are computed.

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1answer
30 views

Is there an API that can return the current market cap of a publicly-traded company?

I am trying to find an API which will return the current market cap of US stocks for a financial data visualization project, and I haven't had much luck finding anything. Preferably, I'd like to have ...
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1answer
19 views

Mapping/crosswalk between SIC to GICS industry classification systems

Is anyone aware of a public SIC to GICS industry classification crosswalk? I am aware of a mapping/crosswalk for: SIC to NAICS ISIC to NAICS
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1answer
88 views

Bloomberg Ticker mapping with Reuters RIC

I am trying to map Bloomberg ticker into Reuters one. For example this one: EDZ3C 96.625 COMDT Few years ago aforementioned BBG ticker would be mapped to Reuters ...
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1answer
44 views

Aggregating quotes data for different time frames

I need to aggregate data for a higher time frame. I have data for 1 min time frame as follows ...
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1answer
51 views

SPX options strike bracket

By what rule does the CBOE determine the available strikes for puts and calls on the SPX? The contract specification (http://www.cboe.com/products/stock-index-options-spx-rut-msci-ftse/s-p-500-index-...
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0answers
104 views

Using ISIN to identify stock at yahoo finance

I'm collecting stock data for private analysis. I found a very excessive list of stock at https://www.xetra.com/xetra-de/instrumente/alle-handelbaren-instrumente/boersefrankfurt but the problem is ...
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0answers
25 views

Finding historical sector p/e ratio averages

I'm making an algorithm that takes p/e ratio into account. To do this, I need to give it perspective of the entire sector's p/e ratio. Is there a source of historical sector wide p/e ratio averages? ...
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1answer
59 views

CDOs before the 2007 crisis

I read that before the financial crisis of 2007 the CDOs were so complex that investors could not analyze them. Were they just complex, or was there no public information about what they contained? ...
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1answer
200 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 ...
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1answer
67 views

Extreme Negative Gamma

I see Zero Hedge, talk about extreme negative gamma position of dealers all the time which it then ties back to market moves. I was wondering how do you calculate such market positioning based on ...
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1answer
125 views

How to simulate market data and test strategies?

I am trying to implement my own exchange with simulated data and test some strategies on such data. What would be the best way to go about modelling the data that supports live interaction ( limit/...
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0answers
84 views

Anyone know if this daily report discontinue to publish? Goldman Sachs - “Global Index Volatility and Correlation Monitor”

I used to receive this daily report in my workplace from Goldman Sachs mailing list but the mailing list discontinued in May 2019 without any notice. The report is an pdf attachment which send from "...
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1answer
47 views

Pull IDX stocks with alphavantage?

How do I pull data for stocks on the indonesian stock exchange (https://www.idx.co.id/en-us/market-data/stocks-data/list-of-stocks/) with alphavantage? What is the symbol I should pass? I've tried for ...
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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.
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2answers
191 views

Using AlphaVantage For Japan/Shanghai/Hong Kong/Shenzhen stock exchange data?

Can I use AlphaVantage to pull data from Asian stock markets? I've been able to do it for others such as the London stock exchange, India stock exchange, Australian stock exchange etc. but haven't got ...
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2answers
118 views

Where can I get the actual info about how many stocks are there in markets all over the world?

I need to test an algorithm for large-scale data in stocks market. I wanna know how many stocks are there all over the world and the data source.
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1answer
50 views

Estimating monthly GDP growth based on quarterly data

Apologies for this newbie question. Given the following quarterly GDP growth: ...
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0answers
89 views

Anyone need a daily Ticker to CIK mapping?

Since I've seen several "Ticker (symbol) to CIK" mapping questions over the years, thought I'd put this out here. I had a need to map this myself for another project. I finally have a baseline that ...
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1answer
37 views

Historical quotes / prices of multiasset options

I am working on Lévy copulas, and I would like to try calibrating such techniques on real data. Where can I find quotes for multi-asset options? It could be exchange options or any other type of ...
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0answers
24 views

Looking for a dataset with historical SP500 (100) components [duplicate]

Does anyone have a dataset of a complete list of the historical (starting from the 80s 90s something like that) composition of the SP500(100) with the dates when the tickers where removed from the ...
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1answer
87 views

Is there a straightforward way to get a “family tree” for a stock?

I would like to find a way to generate what might be called a "family tree" for a stock. Given a stock symbol and a future date, I'd like a graph (either literally or represented in list or other ...
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1answer
63 views

Asian Options Vs Bermudan Options

Which of these options are more popular in practice/used in industry? And where exactly are they used? Also, I have been searching for listed Asian and Bermudan options, for volume data etc, but have ...
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0answers
24 views

Termstrc data preparation from Bloomberg terminal

I am trying to use the R package termstrc to estimate yield curves for the Czech Republic. I have found the structure of the required class ...
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3answers
425 views

What does Volatility Smile tell? [closed]

Could you please share your opinions about Volatility Smile? What does it tell us when it gets more convex or when its level changes over time or any other change on it. Any paper/work/blog ...
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0answers
49 views

Is there a way to pull SPX index option open interest daily data?

Currently I just use Bloomberg API in Excel for preliminary data analysis and manipulation, and I have one function call that gives me the ticker and IV today ...
2
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1answer
99 views

Where can I get some Inflation Option example quotes (year-on-year and zero-coupon)

I am writing an academic paper on calibration of inflation vanilla options. I need to generate examples for the paper. Is there anywhere I can get example data for the Inflation year-on-year options, ...
2
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1answer
132 views

Dynamical Behavior of Hurst Exponent

I feel that the dynamic of financial market is not really modeled by standard Brownian motion, but fractional Brownian motion or even multifractional Brownian motion. I have read some references on ...
2
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1answer
112 views

How to compute cumulative performance of a portfolio with two equities?

I have a time series of adjusted returns for two companies, A and B. I have created a portfolio consisting of these two time series with equal weighting (sum of weights must equal 1): $w_a = w_b=0.5$...
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1answer
70 views

Data Sources for Timestamps of Individual Trades [duplicate]

Are there any data sources where I can get the timestamps of individual trades/transactions? I'd like them to be at the second level or even the millisecond/nanosecond level. Ideally, the trades would ...
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0answers
27 views

What are industry-standard terms for MBIS “situational bid”?

In the data feed from Municipal Bond Information Services there is a field called "situational bid", which is defined in their reference as "Bids on a security that is being offered for sale." If I ...
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3answers
193 views

How to estimate market based PD and LGD for small enterprises?

I am estimating CVA/DVA for derivatives... How to estimate PD and LGD (or RR) based on market data for the small enterprises, if there is no external rating for them and they don't have bonds or ...
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0answers
41 views

Best database source to download large number of stock prices [duplicate]

I am wondering what databases exists where I can download stock prices from 2006 to today with the following features 1) using Python API 2) using Bloomberg tickers (e.g. AAPL US Equity) 3) free ...
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1answer
43 views

Do you use seasonally or non seasonally adjusted index in analysis

I am constructing an inflation factor that includes the gdp deflator, the PPI for finished goods, and a spot commodity index. Do I uses seasonally or nonseasonally adjusted historical series? Thank ...
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5answers
593 views

What actually drives a stock price up ou down?

Can someone please explain to me how stock prices go up and down? What are the underlying physical and information technology phenomena and algorithms that drive a stock up or down? Books just say ...
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1answer
132 views

“J” message type in Nasdaq ITCH Totalview sample file

I am trying to parse the uncompressed file 10302018.NASDAQ_ITCH50 (from ftp://emi.nasdaq.com/ITCH/10302018.NASDAQ_ITCH50.gz). There is a strange message type "J". The spec (https://www.nasdaqtrader....
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2answers
81 views

Datasource of all scheduled news events for S&P 500 stocks

I am looking for a datasource which contains all news events specific to equities of the S&P 500, whose release date was scheduled in advance. That is, I am not looking for surprise news. For ...
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1answer
262 views

Bloomberg's Open Market Data Initiative

I am reading about OMDI: https://www.bloomberg.com/company/announcements/bloomberg-opens-its-data-distribution-technology/ After reading that, I am still not sure: Is it free? If so, what kind of ...
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1answer
39 views

Kenneth Frenches Data library return data to price data?

I have downloaded the industry portfolios from Kenneth Frenches data library, I am wondering if anyone knows where I can find the price data? Can I convert it even if I don't have a starting value? ...
3
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1answer
775 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 ...
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1answer
152 views

Asset price simulation under Monte Carlo for option pricing using market data

I am trying to use Monte Carlo to price some exotic options. I have in mind to simulate asset prices under GBM (say S&P prices) using Monte Carlo and price the option accordingly from the payoffs ...
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1answer
619 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 ...
4
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1answer
318 views

Limit and Market Order for training a ML model

Goal : Using deep learning to build a ML model which would predict the right places where a stock price will increase, decrease or stay stable. For the current question, assume the labels are well ...
2
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1answer
7k 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: ...
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0answers
20 views

How to determine incorporated funds from the CFI

I am making a model for the acquisition of financial instruments, and it is sometimes important (for legal or tax reasons) to be able to determine whether an investment fund is incorporated (SICAV or ...
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1answer
1k views

Is an ISIN unique per company (or what else is)?

Example: Tencent Holdings Ltd. KYG875721634 (Hongkong) in HKD US88032Q1094 (OTC) in USD An important factor of my stock picking is the market capitalization. Both listings have a similar (but not ...
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3answers
180 views

What are the impacts of the discontinuation of benchmark Interest Rates?

I was wondering what the impacts of Interest Rates benchmarks (LIBOR/EURIBOR) discontinuation might be on the Quants side ? Do you know if there are articles/discussions providing an analysis grid of ...
6
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1answer
268 views

OpenGamma's Strata - Computational Overhead

I've been looking at the open-source library Strata (maintained by OpenGamma), which is written in Java. Now, upon inspection of the FX Forward Pricer and Payment Pricer I noticed two things: All ...
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2answers
177 views

Seeking papers that deal with stock market analysis

I am sure there are a lot of papers that are related to stock market analysis.. but I haven't been able to find ones that fit my needs most. I want to read papers, replicate their analysis, and use ...
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0answers
48 views

How to make use of sector index returns data to analyze the overall stock market index

I have a set of indices returns data, namely, ...
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1answer
76 views

Subset selection to identify independent variables that impact the market?

Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally ...