Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [data]

Questions about handling, obtaining, generating, or analyzing all types of financial or economic data. Please use a more accurate tag if possible; for instance: tick-data, fundamentals, market-data, option-data, ticker-mapping, etc.

This is a generic tag, but it is better to use a more accurate tag like:

  • historical-data for questions related to obtain a long history of data.
  • market-data for questions related to market prices (open, high, low or close) and volumes, adjusted or not.
  • fundamentals for balance sheet related data.
  • tick-data for tick by tick, high-frequency or intraday data.
  • option-data for data related to option prices (or implicit volatilities or any other Greek or sensitivities).
  • index-data for composition of indexes.
  • ticker-mapping for questions related to tickers, RICs, Bloomberg codes, etc.
488 questions
30
votes
11 answers

Training set of tick-by-tick data?

I'm looking to find a free source of tick by tick data (<1sec) for training purposes. It doesn't need to be longer than a day, and I don't care what instrument, or exchange, or time it is. I just want real numbers with a high frequency. Is such a…
nurxg
  • 401
  • 1
  • 5
  • 4
12
votes
1 answer

Is there a standard / methodology to determine and grade the quality of OHLC data?

Inputs are most important to any decision making. For strategy backtesting, the OHLC data is one of the most inputs. So to ensure the correctness and integrity of OHLC data, we have checks on the following OHLC issues: Outlier Price Negative…
Michael Teo
  • 121
  • 4
7
votes
5 answers

Free data on swap options

I am trying to analyze valuation methods for swaptions. Does anyone know of free example data for these OTC-traded securities?
Owe Jessen
  • 1,144
  • 7
  • 18
6
votes
1 answer

Availability of machine-readable OCC Infomemos?

Does anyone know of a source of machine-readable (XML,etc) OCC Infomemos? The PDF files available below contain all the information I want, but are a pain to parse. http://www.optionsclearing.com/market-data/infomemos/infomemos1.jsp
Nicholas Palko
  • 161
  • 3
4
votes
1 answer

How to obtain data for Benford's Law analysis?

First off, let me be specific as to what I mean by "Benford's Law analysis": I'm looking to test, given some data, if the set of first significant digits are independent, identically distributed Benford random variables. As such, I would prefer the…
Alex Richter
  • 41
  • 2
4
votes
2 answers

Tick data collection

I am new to this. I am confused on what consists of a tick data. I have a trading platform in which I could collect data of exchange traded product like futures and stocks. While I am intending to use the platform for trading, I think I could…
leslieg
  • 61
  • 3
3
votes
1 answer

Deutsche Börse sample Level 2 data, how to view in Windows?

DB has some sample Level 2 market data: http://deutsche-boerse.com/mda/dispatch/en/listcontent/gdb_navigation/mda/200_market_data/650_historical_market_data/35_enbs_hist_data_xetra/EnBS_historical_data_Xetra.htm In…
user997112
  • 610
  • 5
  • 16
3
votes
2 answers

How can I get NAICS (or SICS) data for the 6000+ stocks on the NYSE?

I have had no problem getting a CSV file with the 6000 or so NYSE stocks, but it just has the stock symbol and the market capitalization. How can I get the NAICS (or SICS) code for the companies listed on the NYSE?
Tyler Durden
  • 131
  • 3
3
votes
1 answer

Where can I find historical DJIA closing prices?

Not sure if this is the best site for this question, it's pretty finance specific so I think it fits. In Correlation Risk Modeling and Management, Meissner refers to a study he performed on the daily closing prices of the constituents of the DOW…
AfterWorkGuinness
  • 1,549
  • 1
  • 18
  • 38
3
votes
0 answers

What is a good site to download historical stock 'events' such as earnings releases?

Possible Duplicate: What data sources are available online? Earnings and valuation data sources online I'd like to backtest some strategies involving earnings release surprises, as well as moves in correlated stocks. Are there any sites that…
Ntrader
  • 55
  • 1
2
votes
1 answer

Downloading historical data of "Financial Account Data"

I would like to know how to download historical data from www.federalreserve.gov/apps/fof/FOFTables.aspx Please advise.
171124
  • 23
  • 2
2
votes
0 answers

Mapping international firms in I/B/E/S to Compustat

Follow up to my previous question on how to map I/B/E/S to Compustat. A big chunk of firms in both Compustat and I/B/E/S failed to map via CRSP for me. After some investigation, I noticed that they are all "international" firms. According to this…
altabq
  • 237
  • 1
  • 3
  • 8
2
votes
1 answer

Should I randomly shuffle train and test datasets?

Usually we randomly shuffle train and test datasets for machine learning problem. However, some sources say that for financial problems we should split data into train and test in chronological order without any random shuffling.
Alexandr Proskurin
  • 403
  • 3
  • 9
2
votes
2 answers

Practical challenges in storing and managing market data

I am trying to store incoming tick data from the US equity markets on a database. What are the most common problems that come up with respect to storing and managing such a large data set. A few that I already know are: 1) Missing data - you can…
novice
  • 187
  • 1
  • 7
2
votes
0 answers

Advice on linking DUNS to GVKEY

I'm working with US Government procurement contracts and I'm like to merge the contract data with stock data from CRSP and firm fundamentals from Compustat. The contract data uses the Dun & Bradstreet D-U-N-S number, I'd like to know if anyone has…
Arthur Morris
  • 141
  • 6
1
2 3