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108 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 ...
drobertson's user avatar
  • 1,882
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 ...
madilyn's user avatar
  • 5,240
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 ...
MRC89's user avatar
  • 375
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 ...
databento's user avatar
  • 2,498
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 ...
chjortlund's user avatar
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 ...
Thomas Browne's user avatar
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 ...
mementum's user avatar
  • 628
13 votes
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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 ...
Matthew Gunn's user avatar
  • 6,964
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 ...
Dave Harris's user avatar
  • 4,299
11 votes
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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 ...
databento's user avatar
  • 2,498
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 ...
Nicolas Gutierrez's user avatar
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 ...
David K. Storrs's user avatar
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 ...
Tony's user avatar
  • 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. $Q$ ...
Matthew Gunn's user avatar
  • 6,964
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 ...
Richard at NorgateData's user avatar
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 ...
mic's user avatar
  • 281
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 ...
Raquel003's user avatar
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 ...
Brian B's user avatar
  • 14.9k
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 ...
user25064's user avatar
  • 1,077
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 ...
phdstudent's user avatar
  • 8,421
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 ...
Jonathan's user avatar
  • 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 ...
Helin's user avatar
  • 11.8k
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.
Helin's user avatar
  • 11.8k
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 ...
David Addison's user avatar
6 votes

Which data sources are available for cryptocurrencies?

As mentioned in other answers, Coinmarketcap and Bitcoincharts are two options. The data they provide is also available from Quandl too. The only issue is, that data has daily frequency and is only ...
Tanmay's user avatar
  • 261
6 votes

Why quants think that the risk-neutral measure should not be used for financial forecasting?

The risk neutral density is a mathematical trick to allow pricing of options. As it has little bearing on reality, it makes little sense to simulate from it for the purposes of forecasting real ...
user9403's user avatar
  • 1,429
6 votes
Accepted

Question on OHLC historical data

There are plenty of reasons for data giving inaccurate extremes (highs and lows) versus the open and close. Without knowing which instrument(s) or specific dates/values, it's difficult to give ...
Richard at NorgateData's user avatar
6 votes

Where can I get historical data for crypto currencies with one minute interval?

There is plenty of OHLCV 1-minute data on my cryptoarchive.com.au along with tick data as well.
aleck's user avatar
  • 161
6 votes
Accepted

Is it always better to use the entire distribution of a financial returns series, not just $\mu$ and $\sigma$?

It depends. For example, if you're doing option pricing in the log normal world returns are completely described by the mean and standard deviation. If you add jumps, you would also need to ...
Bob Jansen's user avatar
  • 8,562
5 votes

VIX options historical data

Just for future visitors of this post: You can also buy VIX option data directly from the exchange where they are traded, the Cboe: [https://datashop.cboe.com]
teekanne's user avatar

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