New answers tagged


Quandl has some good intraday datasets but requires a subscription FirstRateData has some free datasets for SP500 and major FX, indices.


For VIX and VVIX you can try FirstRate Data which has 1-minute bars going back 5 years


The actual term for this is downsampling. If you are trying to take 1-minute bar data and create 5-min bar data there are a few rules you should follow. The bar name is where it starts, not where it ends. The bar in your example should be called the 15:00 bar, not the 15:05 bar. It should not include the 15:05 1-minute bar. The bar should start at 15:00 ...


A widely accepted method to estimate Beta is the Vasicek (1973) method, which computes a preliminary estimate of Beta by linear regression and then "shrinks it" (adjusts it) towards 1 to compensate for the fact that the OLS Betas tend to be too extreme (too far from 1) in the cross section. I consider it the standard. Recently Ivo Welch has published a new ...


I've built an Excel Add-in ( which enables retrieval of data from Yahoo Finance (as well as other data providers). The Add-in currently provides live and historic prices to Excel cells via simple formulas such as: =EPF.Yahoo.Price("AAPL") =EPF.Yahoo.Historic.Close("TSLA", "1 May 2019") It also has a UI for bulk downloading ...


I'm not sure what your exact situation is, nor what an RPA is, but I can at least explain to you OIS and CMS. I think you have terminology confusion. CMS means "constant maturity". That is an interpolation between active issues to allow for consistency. For example, when looking at treasuries you are often looking at a small set of actively trading ...

Top 50 recent answers are included