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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2
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3answers
279 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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1answer
56 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
735 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
179 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
90 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
381 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 ...
0
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1answer
41 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? ...
4
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1answer
1k 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
182 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 ...
1
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1answer
1k 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
407 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
25 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 ...
2
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1answer
2k 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
205 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
453 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
187 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
57 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, ...
0
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1answer
90 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 ...
2
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1answer
397 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 ...
3
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2answers
421 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 ...
2
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1answer
532 views

How to download only amex and nyse data from CRSP?

I am a beginner and I have a very elementary question, but I don't know where to find the answer! I am downloading the CRSP monthly stock files for 20 years. I ...
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0answers
455 views

Historical Data - Level II with Time and Sales Data [duplicate]

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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1answer
168 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 ...
2
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1answer
3k views

Real-time limit order book data of desired depth

Is it possible to get real-time NASDAQ limit order book data feed somewhere? I would need a stream of the limit order book data, preferably something similar to: Along with the respective events ...
2
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1answer
2k views

Linear interpolation Discount factors

I am not sure how to perform a linear interpolation between discount fators for swap quotes. Lets say I have the following market quotes: ...
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1answer
227 views

Where can I find historical data for Europe listed ETFs?

I'm currently working on building a portfolio optimization tool for European ETFs such as: (SYMBOL/ISIN/description) IQQF / IE00B0M63730 / iShares MSCI AC Far East ex-Japan UCITS ETF EXW1 / ...
2
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1answer
87 views

Information available to traders

I am not a trader myself but am trying to educate myself about trading. I notice that in most articles and videos about technical trading, an illustrative graph is displayed showing the latest price ...
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1answer
117 views

Can any tell me how the VIX spike in Feb 2018, might have been caused my manipulation of $SPX options or VX Futures? [closed]

Looking for ways to back track evidence of manipulation in the trading or SPX options, ES Futures, or VX Futures to cause the spike that destroyed the vol ETFs (XIV, and SVXY), and caused small ...
0
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1answer
211 views

(Self studying) Finding data on Bloomberg

I apologize for asking this very simple question, but I was reading through this chart for the first time, and I would like to know where on Bloomberg can I find data like these, since I have to price ...
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2answers
2k views

Why don't data sources use ISIN instead of symbol?

I've been messing around with stock data off and on for a year or two and just recently found out about the ISIN. Up until I found some data from Siblis Research, none of the other data sources used ...
0
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2answers
64 views

How Market Exchange and Vendor entitlements/permission works?

I would like to know how market data entitlement and permissions works at Vendor level and exchange level? if our firm receive Realtime data from Vendor or directly from exchange.. What permissions ...
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0answers
41 views

Transform 24hr cumulative volume to sampled periods

I have a Python Dataframe with cryptocurrency data that has three columns: time, 24hr volume and price. The time is the time at which the data was received from the exchange, price is the last price ...
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2answers
87 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, ....
2
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1answer
2k 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 ...
5
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2answers
604 views

Create One's Own Daily OHLC data

Given that it's possible to download hourly bars, usually with a UTC timestamp, from most brokers, it then becomes possible to create one's own daily bars. I am thinking of doing this and would like ...
4
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1answer
123 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
103 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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0answers
274 views

List of US Industry sector ETFs that map to ICB classification

I am in the prcess of carrying out intra-and intra sector analysis of US stocks, and am proxing sectors with sector ETFs. I therefore, need to catalog the list of US sector ETFs - but have been unable ...
9
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2answers
1k views

Data for the Tulip mania

The Tulip mania is considered to be one of the first recorded examples of a speculative bubble in modern history. Long story short, the newly introduced tulip plant in the United Provinces, combined ...
3
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1answer
2k views

Cap/Floor ATM Rate

This is a question on cap volatility market data. The quotes usually include volatilities for different strike (1%, 2%, ... 5%) and maturities (1Y,2Y,...20Y). One volatility for each combination of ...
3
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1answer
781 views

Close and Adjusted Close in Interactive Brokers API and Yahoo Finance

On Interactive Broker's TWS API manual, there are several historical data types to choose from. Which IB TWS data type's Close value corresponds to Close Adjusted ...
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0answers
68 views

Is there a mathematical way of showing the slowing down of economic markets?

I'm currently taking a introductory mathematical finance course in university and recently on the news (BBC, etc), it states that the economic markets are shown to be slowing down for the next few ...
10
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2answers
1k views

Implying risk-free rates using Put/Call parity

I recently purchased SPX options data from the CBOE. Normally, if the data is OK and the Put-Call parity holds, one should expect to correctly imply ZC (Zero Coupon bond) prices and forwards by ...
2
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1answer
597 views

SPX options data from the CBOE data shop

I would like to explore some listed options trade ideas on the SPX (and maybe later on its components too), and naturally I would need historical data to backtest those ideas. In my quest for a ...
1
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3answers
128 views

Given only Bid Ask and quantity Data, how do I determine whether the security price has gone up or down?

Given Bid Ask Hang Seng Index Future Data, how can I determine whether the current index future price has gone up or down relative to the last price? ...
6
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3answers
2k views

Equity short Interest data source

I'm looking for short interest data (those disclosed on 15 days basis to FINRA) As far as I know FINRA publishes only OTC data (http://otce.finra.org/ESI). Nasdaq.com contains only nasdaq traded ...
2
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0answers
116 views

Why is limit price order been executed with a worse price?

recently I was trying to analysis the message data from NASDAQ ITCH data, but I find a problem with a type of message called "Executed With Price Message". For example, first there is an Add Order ...
2
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3answers
134 views

Profits of US Banks

Are there any publicly available data on [aggregate] profits for domestic US banks, especially quarterly data? Most studies that I know use the "Financial Statements of Banks" from the OECD but these ...
2
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1answer
572 views

Calibration by monte carlo, should I fix my seed?

I am calibrating a 3-parameter stochastic model to options market data via Monte Carlo simulation. Let the parameter set be denoted by $\bar{\theta}$. (this is not a simple Black-Scholes type model, ...

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