107
votes
Accepted
Building Financial Data Time Series Database from scratch
I am going to recommend something that I have no doubt will get people completely up in arms and probably get people to attack me. It happened in the past and I lost many points on StackOverflow as ...
- 1,872
44
votes
Where to get long time historical intraday data?
You are not clear if you want the S&P500 index (SPY), OPRA Options or the Futures. Having spent a lot of time exploring vendors, here is a summary to help you (in alphabetical order):
AlgoSeek....
- 571
35
votes
Building Financial Data Time Series Database from scratch
All of the answers above (unfortunately highly upvoted at this point) are missing the point. You shouldn't pick a DBMS or storage solution by general performance benchmarks, you should pick it by use ...
- 5,231
24
votes
Where can I get historical fundamental data for multiple companies in a single CSV file?
A friend of mine has created a free source for fundamental financial company data of US listed stocks. All of the data is easily available from https://simfin.com/. Feel free to check it out and send ...
- 375
20
votes
Accepted
What happened to the French franc value in August 1969?
That was the devaluation of the French franc on 8 August, 1969 (by 12.5% in terms of par value), decided by President Pompidou and his finance minister Giscard d'Estaing.
In those days, exchange ...
- 9,332
17
votes
Accepted
What's the most efficient way to store options and time series data for backtesting?
If the only purpose is to backtest with the data, the primary (in some cases, only) access pattern is to seek to a start time and read all of the data serially through to an end time. Then, there is a ...
- 2,378
16
votes
Building Financial Data Time Series Database from scratch
Interesting debate and Not to wake sleeping dogs, the world has moved quite a bit in the 1.5 years, and the data space has exploded.
I would like to recommend some ...
- 680
15
votes
Building Financial Data Time Series Database from scratch
The standard answer is going to be that for time series, you want a column store database. These are optimized for range queries (ie: give me everything between two timestamps) because crucially, they ...
- 1,150
13
votes
Accepted
Is Yahoo! Finance data good or bad now?
What has changed
The API is gone. The new downloads need 1st to parse the Yahoo Finance page to find a hidden crumb and use it as the key for data retrieval over a 2nd URL.
The adjusted close is ...
- 628
13
votes
Accepted
Data for the Tulip mania
I don't see anyplace obvious. My quick reading of Garber's original paper is that he greatly drew on work by Ernst Krelage which I've linked below. The Appendix I of Thompson (2007) describes in ...
- 6,924
13
votes
Why quants think that the risk-neutral measure should not be used for financial forecasting?
There is a deeper issue. Frequentist distributions are not probability distributions because they are designed to be minimax distributions rather than actual distributions. This ignores all of the ...
- 4,359
12
votes
Where to get long time historical intraday data?
You can get minutely as-traded prices for all US securities on Quantopian, for free. You can't download the original data, but you can query it, analyze it, and do your research within a hosted ...
- 341
11
votes
Accepted
How to make a trading universe of liquid futures contracts
Systematically finding most liquid futures instruments
Can we put together a better list than the academic articles?
Yes! The lists in existing publications [1, 2] are great, but fall slightly short ...
- 2,378
10
votes
Accepted
Where to get price data on Credit Default Swaps?
Markit Pricing Data is a prime source for cds data (not free).
- 722
9
votes
Why quants think that the risk-neutral measure should not be used for financial forecasting?
In their book "Counterparty Credit Risk, Collateral and Funding" D. Brigo, M. Morini and A. Pallavicini start with a dialogue between a Physics PhD graduate and an experienced practitioner of ...
8
votes
Why are Quantquote historical trades different vom ActiveTick historical trades
This is an old post, but I thought I would offer the following facts:
1) QQ claims to be sited in the Empire State Building, Suite 2100. (https://quantquote.com/contact.php) That is false. They do ...
8
votes
Where can someone get free (or very cheap) high frequency tick forex data?
Dukascopy offers historical tick data. Through their historical data website you can download what you want, but registration is required, and lots of manual clicking.
However if you are comfortable ...
- 181
8
votes
Why quants think that the risk-neutral measure should not be used for financial forecasting?
Perhaps a case of views based upon theoretical possibilities rather than empirical realities?
In theory, $P$ and $Q$ can be extremely different
$P$ is the real world, actual probability measure.
$Q$ ...
- 6,924
8
votes
Accepted
YFinance incoherent daily and hourly values
When you sample stock market data, you really need to understand what source(s) and rules are being used, and any adjustments applied to the data. Different rules might also exist for different ...
- 1,335
7
votes
Where can I get historical fundamental data for multiple companies in a single CSV file?
I'd just like to share that I work at Quandl and noticed this thread. We now have global fundamentals data that can be downloaded in various formats including CSV. Our Global Select Stock Fundamentals ...
- 71
7
votes
Where to get price data on Credit Default Swaps?
Better than Markit, you can have a look at https://www.datagrapple.com/ (subscription is free). About 1000 CDS are covered. Daily end-of-day prices (mid of a best bid/offer order book) from Jan 2006 ...
- 281
7
votes
Accepted
Does using adjusted closing prices constitute a lookahead bias?
To elaborate and emphasize a bit on what @Antoine says, using adjusted prices will be reasonable from a returns point of view, with dividends reinvested.
That point, dividend reinvestment, is ...
- 14.7k
7
votes
Accepted
How to deal with missing value in a time series stock market data?
Some approaches
Use only common points - Exclude all holidays in any index.
Reduced sample size
Loss of information
No 'made up' data (consistency)
Fill forward - use previous day as you ...
- 1,057
7
votes
Accepted
What are the known flaws and limitations of OptionMetrics data?
OptionMetrics has its flaws but it has been widely used in economics/finance research.
Regarding the Constantinides, Jackwerth and Perrakis (2008) paper I am unsure what their concern are. The ...
- 8,062
7
votes
Missing data in historical simulation VaR
This issue is incredibly important and I agree there is little practical information about it. To me, the key idea is to find the right matrix completion algorithm that best suits your needs. I work ...
- 171
7
votes
Accepted
Data on historical, cross-country nominal yield curves
First, a quick comment on Bloomberg symbols such as USGG10YR. These are actually yields on "generic bonds"; typically these are benchmark, on-the-run ...
- 11.4k
6
votes
Why are Quantquote historical trades different vom ActiveTick historical trades
I have used QuantQuote minute data previously and found it to be by far some of the best data I have used. It's interesting to observe that DonaldRC has just a single post and is pushing ActiveTick ...
- 161
6
votes
Data exported from Capital IQ, FactSet, Bloomberg, Compustat
Morningstar
Morningstar partnered with Quantopian, and the latter published the structure of Morningstar's equity fundamentals database:
https://www.quantopian.com/help/fundamentals
Quantopian ...
- 713
6
votes
Accepted
Where do I get historic performance data of the MSCI World Growth/Value index
This is available directly from MSCI's website: MSCI End of Day Index Data Search. If you click on an index name, you can download the entire history.
- 11.4k
6
votes
Accepted
Why were Fama/French Momentum Factors discontinued in 2016?
To preface, just a minor quibble: French still tracks the momentum anomaly elsewhere on his library, under "Sorts involving Prior Returns"; it's just no longer part of the core FF framework ...
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