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.
499 questions
-1 votes
1 answer
42 views
How useful is analyzing historical 13F hedge fund holdings for strategy development?
I’m exploring whether studying and learning from historical changes in major hedge funds’ portfolios (via 13F filings) provide actionable insights for strategy development or risk management. ...
0 votes
1 answer
96 views
Where can I find financial ratios, ESG fundamentals, and bankruptcy/default data for European companies?
I’m developing a credit/default risk model as part of a research project and need time-series data for European companies, covering the following variables for each company-year (or company-quarter). ...
- 1
1 vote
1 answer
102 views
Process for Removing Error/Incorrect Cryptocurrency Trades
I have many time series of cryptocurrency pair trade data from Kraken (available for batch download here) with some that are very long and others that are very short. I am attempting to build a basic ...
- 291
4 votes
2 answers
453 views
The "Lehman Corporate Bond Database distributed by Warga (1998)" cited in papers
Reading papers, e.g. "Reduced Form Valuation of Callable Corporate Bonds: Theory and Evidence" 2006 Jarrow et al. there is often reference to the above citation on which the authors perform ...
- 13.3k
0 votes
1 answer
188 views
How to remove survivorship bias from historical data?
I have biased data, missing delisted stocks after the bankruptcies. How to adjust the data to avoid survivorship bias? A simple approach but more or less reasonable one? The dataset N stocks (250), ...
- 467
0 votes
1 answer
118 views
Exchange-tagged option trade data?
I was listening to this Bloomberg odd lots podcast (from 3/21/25) around 3:50. The guest Charlie McElligott says that people speculated on dealer positioning "before you had the exchange-tagged ...
- 103
3 votes
0 answers
188 views
How to account for autocorrelation in factor models?
In BARRA style factor models, asset returns are modelled as a linear function of factor exposures $$ R_t = X_tf_t + \varepsilon_t, $$ where $R_t$ is the return vector, $f_t$ the factor returns, and $\...
- 438
0 votes
0 answers
55 views
Where can I find data concerning fx deposit of major economics by international corporation
I am trying to find data related to fx deposit by corporation. It can be weekly, monthly, quarterly or even yearly data depending on the data availability, I wonder whether there is any source I can ...
0 votes
0 answers
57 views
Handling negative/near-zero EPS in financial time series analysis - ratio metrics vs raw data approach?
I'm working with financial time series data on a large global universe of companies. Specifically using fundamentals from FactSet right now, and my question concerns earnings per share (EPS), and I'm ...
- 101
2 votes
1 answer
444 views
How to Enforce Symmetry in Implied Volatilities Around ATM for OTM Puts and Calls?
I am analyzing implied volatilities (IVs) for options on an underlying asset, and I noticed discrepancies in IVs for out-of-the-money (OTM) puts and calls near at-the-money (ATM). The attached plot ...
- 93
0 votes
1 answer
193 views
what is the best academic dataset for returns of European stocks?
what is the best academic dataset for returns of European stocks? what are their identifiers? I know Factset. is there other datasets?
- 53
1 vote
0 answers
74 views
How many orders does a big exchange receive in a trading day?
How many orders does a big exchange receive in one trading day in their most traded asset? E.g. how many orders does Nasdaq receive for AAPL in one day? I am interested in a rough estimation and can't ...
- 115
1 vote
1 answer
796 views
Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook - replacement
One of the main aggregate datasets for historical returns on different assets classes (the Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook) is being discontinued. Source: https://www.kroll.com/...
- 9,336
0 votes
0 answers
150 views
Estimating Parameters for a Jump Ornstein-Uhlenbeck Process from Positive and Negative Order Flow Time Series
Question: Estimating Parameters for a Jump Ornstein-Uhlenbeck Process from Positive and Negative Order Flow Time Series I’m working with a model of buy and sell order flows that are described as ...
- 11
1 vote
1 answer
217 views
Nelson-Siegel-Svensson: question regarding data format for fitting the model
If I want to fit the Nelson-Siegel-Svensson (NSS) model to a set of spot, forward, or discount rates, my intuition says that the data should of course be in percentage form. For example, I should use $...
- 237