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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30 views

Retrieve market data for OTC derivatives! [closed]

What are the required characteristics of an OTC-derivatives (ex. Fx forward) to identify the market data using Thomson Reuters or similar data vendor? Thank you
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26 views

Yearly Performance of US Mutual Funds

Does anyone if there is a dataset, possibly free, that has data on the historical performance of US mutual funds? It would be fantastic if it also includes their fee structure also. Thanks!
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1answer
28 views

Discrepancy in stock volume values for different intervals for the same day on Yahoo Finance

everyone. Probably, someone else before me noticed that peculiar behaviour but I have not found any thread with a relevant title. Anyway, here is the case. I have attached a screenshot which displays ...
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57 views

Cleaning of high-frequency data

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x in the section dedicated to ...
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2answers
84 views

getting russell 3000 membership historically

Hi All: Does any know of there is any code somewhere for obtaining the russell 3000 constituents for 2017, 2018 and 2019. If not, then is there a company that sells it ? I imagine russell does but I ...
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23 views

Free resource to pull historical market cap data in Python? [duplicate]

I am trying to replicate the Russell 1000 with the top 25 stocks using a capitalization weighted method. I can pull historical price data from pandas(yahoo or quandl) with no problems. I need to pull ...
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1answer
58 views

Where can I find data about Options for Europe (entire dataset)?

I need to get data about the entire dataset (i.e. all) of options for European countries. Where can I do that? For example, if I had to do it for US options, I would just use WRDS (to which I have ...
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26 views

How to approximate expectation and variance of an integral from a discrete Time series financial dataset?

I have discrete time series financial data, with time($u$), price($S$) and someVariable($q$) which looks something like this. ...
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1answer
53 views

TeaFile discrete logic - how to write [closed]

I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file. Let's take this example: ...
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38 views

Does anyone have any pproximate idea what it would cost to get a FIX and OUCH connection from NASDAQ

I would like to know how much the exchange fees would be to connect and place orders directly with NASDAQ using one of their third party suppliers or directly. I took a look at the pricing page but it ...
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2answers
77 views

The similarity between a bond's quoted bid price and its clean price?

Is the Best Quoted Bid Price the same as the Clean Price for bonds? I understand that the Clean Price is the Dirty Price less Accrued Interests, however, I am a bit confused of why the Bid Price = ...
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1answer
103 views

OHLC prices after filtering

Assume we have minute-bars of OHLC stock prices. Then, applying Kalman filter to those prices separately, we can remove a measurement noise and obtain the estimates of the states of the price ...
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35 views

What variables are used for the Institutional Activity Index (IAI)?

I've been looking for various ways to get more information about institutional trade action. Although weekly COT report is available, it's already outdated by 1 week at the time the report come out ...
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1answer
47 views

Recovering index weights via least squares regression on components

As an exercise, I wanted to re-construct the index weights for the Nasdaq-100 (^NDX) via linear regression. For these purposes I got the daily adjusted close of its 103 components from alphavantage.co ...
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1answer
21 views

Option symbology with reuters DSWS

I am trying to systematically extract option data at a certain date based on the underlying. Input: interchangeably ISIN/RIC/Mnemonic Output: list of underlying symbols, preferably mnemonics. I am ...
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1answer
77 views

Correlation between the perfect market-timing strategy and the market itself?

What would be the correlation between a perfect market-timing strategy [that it always goes long (short) one unit of the market the day before the market goes up (down)] and the market itself, given ...
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51 views

Using news to predict Stock Prices dataset

In order to build Regression or Deep Learning models for predicting the market, we need a bunch of historical data. Prices and technical indicators are easily accessible, but getting news from the ...
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40 views

I need to get data about tulip price between 1936-1937

I need to daily data for Tulip Price between 1936-1937. How can I find? Please help.
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2answers
148 views

Live trading strategies developed on daily data

This is a very simple perhaps naive question. Let's say I have a stock price prediction model trained on daily closing prices of that stock. So when I use this model for live trading, I'll have ...
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1answer
49 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
134 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
283 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
56 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
65 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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459 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
26 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
2k 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
89 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
135 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
87 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
94 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
526 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
124 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
123 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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2answers
52 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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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 ...
2
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1answer
92 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
79 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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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
590 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
64 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
124 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
159 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
165 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
75 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
231 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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