Master list of free financial data

[Tsotne]

Yeah. At first I'm trying to recreate results from previous research (ie. Schumaker, Chen, ...). They make a forecast in a very small window, something like 20 minutes after the release of a news article. One of the goals of my thesis is, after I have a comparable system, to adapt the system and to test it for forecasts in a larger window.

Good Luck with it then.

If you are interested, I can send you a list of papers of existing systems.

I'd appreciate it. Thanks

 

[Mr Doe]

Free tick-by-tick FX data!

http://www.truefx.com/

 

[Andy Nguyen]

Some more free tick data
http://www.ux.ua/en/marketdata/marketresults.aspx

 

[Baller]

Hey anyone know where I can find historical data (only from the past few years) of mortgage default rates ( specifically jumbo mortgages and Alt-A mortgages) in the states?
I've looked everywhere and I only find a bit here and there...
Thanks

 

[Abdel]

Where can I find the data on the global inventory/supply of commodities (wheat, silver, oil etc.) ?

I've looked all over the place and haven't found anything.

 

[Andy Nguyen]

I updated the first post in this thread. Many of the old links are dead. If you have found anything new, please suggest.

 

[Neuron]

Does anyone know how far the Put/call ratio goes back to and where I can DL to an excel sheet?

 

[Darou]

If you need to put the market data into Matlab, Excel or Java, try FinAnSu resp. JSoup.

 

[Jason Heale]

ErikBam, alain

I don't know about historical 5min tick data, but Data Downloader(http://www.volumedigger.com/Software/Data_Downloader.aspx) is a pretty nifty little application that let's you download 5min and 1min tick data from Yahoo and Google Finance.

 

[Michael Berzan]

Hi there,

I plan to model (for a study project) a couple of option pricing models and to compare their predictive performance (the Corrado-Su model with Gram-Charlier Type A expansion and Rubinstein's Edgeworth Binomial Tree, in particular). So I'd need high frequency (tick or 1/5/15/30/60 min) historical data on option trades and the underlying asset (stock or index). The target time interval would be up to 2 years (a couple thousand observations should be enough), the fresher the better, but series as old as of 2006-2007 should do the trick (though Im concerned whether data during the initial phases of the 2007 crisis wont distort the results). Ive searched the sources in the header and many others and found plenty of data on stocks, indices and even futures, but no free intraday (15min, 30min or 60min) or tick data on option trades.

The particular underlying assest is not of importance, any actively traded ones are ok, such as:
Indices: PXA (options on CAC40); ODAX; OESX; SPX; DJX; KN (calls on NIKKEI)
Equities: DAI (options on Daimler); DBK (Deutsche Bank); DTE (Deutsche Telekom); NOA3 (Nokia); MSFT; CVX etc.
(majority of the examples are from german market only cause Ive done a quick selection from Eurex)

What particular data is necessary: current date/time of transaction (optional)/Option price/Strike price/Price of the underlying asset/Risk free interest rate (hope Ill figure it out from a free source)/maturity date.
The time to maturity period which is of interest is 10-100 days (going to divide it into two groups <60 and >60).
Moneyness: both ITM and OTM.

Thx, at least for reading all that

PS: I mean european call options (or puts, will transform them through call-put parity).
PS2: my email: m_rusnac@yahoo.com

 

[Sisifo]

intraday information is usually available to paid subscribers of any service. If you find a free source, let me know.

http://thebonnotgang.com/services/historical-data/

Free Intraday:

FOREX EUR/CAD
FOREX EUR/CHF
FOREX EUR/CNY
FOREX EUR/GBP
FOREX EUR/JPY
FOREX EUR/RUB
FOREX EUR/USD
FOREX GBP/USD
FOREX PLN/EUR
FOREX USD/CNY
FTSE Rio Tinto
FTSE Unilever
FTSEMIB A2A
FTSEMIB Ansaldo STS
FTSEMIB Atlantia
FTSEMIB Autogrill
FTSEMIB Azimut Holding
FTSEMIB Banca MPS
FTSEMIB Banco Popolare
FTSEMIB BCA Popolare Milano
FTSEMIB Bulgari
FTSEMIB Buzzi Unicem
FTSEMIB Campari
FTSEMIB Diasorin
FTSEMIB Enel
FTSEMIB Enel Green Power
FTSEMIB ENI Milano
FTSEMIB Exor
FTSEMIB Fiat Industrial
FTSEMIB Fiat Spa
FTSEMIB Finmeccanica
FTSEMIB Fondiaria-SAI
FTSEMIB Generali Assicurazioni
FTSEMIB Impregilo
FTSEMIB Intesa Sanpaolo
FTSEMIB Lottomatica
FTSEMIB Luxottica Group
FTSEMIB Mediaset
FTSEMIB Mediobanca
FTSEMIB Mediolanum
FTSEMIB Parmalat
FTSEMIB Pirelli&c
FTSEMIB Prysmian
FTSEMIB Saipem
FTSEMIB Snam Rete Gas
FTSEMIB STMicroeletronics
FTSEMIB Telecom Italia
FTSEMIB Tenaris
FTSEMIB Terna
FTSEMIB Tods
FTSEMIB UBI Banca
FTSEMIB Unicredit
INDEX_DE Frankfurt DAX Index
INDEX_FR Paris CAC40 Index
INDEX_IT Milan FTSEMIB Index
INDEX_JP NIKKEI 225
INDEX_UK London FTSE Index
INDEX_US Dow Jones Industrial Average
INDEX_US NASDAQ Composite
NASDAQ Apple Inc.
NASDAQ Applied Materials Inc.
NASDAQ Brocade Communications Systems,
NASDAQ Caliper Life Sciences Inc.
NASDAQ Cisco Systems, Inc.
NASDAQ Comcast Corp
NASDAQ Dell Inc.
NASDAQ eBay Inc.
NASDAQ Fifth Third Bancorp
NASDAQ Google Inc.
NASDAQ Huntington Bancshares Inc
NASDAQ Intel Corp.
NASDAQ Level 3 Communications Inc.
NASDAQ Micron Technology Inc.
NASDAQ Microsoft Corp
NASDAQ News Corp
NASDAQ NVIDIA Corp
NASDAQ Oracle Corp
NASDAQ Popular Inc.
NASDAQ Qualcomm Inc.
NASDAQ Research In Motion
NASDAQ SanDisk Corp
NASDAQ Sirius XM Radio Inc.
NASDAQ Windstream Corp
NASDAQ Yahoo! Inc.
NYSE Advanced Micro Devices
NYSE Altria Group Inc.
NYSE AT&T
NYSE BHP Billiton Limited
NYSE BP
NYSE Corning Inc.
NYSE EMC Corp
NYSE Exxon Mobil
NYSE Ford Motor
NYSE General Electric
NYSE Goldman Sachs
NYSE Hewlett-Packard
NYSE HSBC Holdings
NYSE JP Morgan Chase
NYSE Lloyds Banking Group
NYSE Lockheed Martin
NYSE Merck Inc.
NYSE MGM Resorts International
NYSE Morgan Stanley
NYSE Pfizer
NYSE Regions Financial Corp
NYSE Rio Tinto
NYSE Royal Dutch Shell PLC
NYSE Sprint Nextel Corp
NYSE U.S. Bancorp
NYSE UBS AG
NYSE Wells Fargo
NYSE Xerox
XETRA Deutsche Bank
XETRA Deutsche Post
XETRA Deutsche Telekom
XETRA Siemens
XETRA Thyssenkrupp
XETRA Volkswagen

 

[Jacek Podlewski]

Hi everyone,
does anyone know where can I find data similar to these: http://www.kitco.com/gold.londonfix.html, but available for download to CSV/XLS/TXT/DAT/whatever? I'm precisely interested in London Fix prices of precious metals for approx. last 5 years.
I'd be also happy to see any source with good-quality GBP LIBOR rates from 2007-2011 available in CSV or any similar format. The sources I've seen contain missing data or have other issues.

Thanks a lot!

EDIT: The gold and silver prices available on eoddata.com seem to fill my needs, so I find this problem resolved, I'd still be glad to find good quality data on historical LIBOR rates.

 

[Tom Anderson]

There are lot of websites where you can get free historical data (eod, intraday and ticks) for stocks
Example: Dukascopy, Stooq, Finam...

http://www.quantshare.com/sa-426-6-...ntraday-and-tick-data-for-the-us-stock-market
http://www.quantshare.com/sa-43-10-ways-to-download-historical-stock-quotes-data-for-free

 

[techer]

So, most of the free historical stock data sources I have seen posted are not all that great. Yahoo comes the closest with split/dividend adjustments, but Yahoo is also rife with errors. Generally my go to source for free daily data is the free data offered by QuantQuote: https://quantquote.com/historical-stock-data

On the above link, click on the Free Data tab to download the free historical stock data. It basically fixes all of the errors present in Yahoo data.
The downside is the free data is only updated quarterly, if you want daily or weekly updates for instance, you probably have to pay (website doesn't say how much, but it is probably >$0)

 

[pawelach]

Quandl.com has gained recently a huge status among researchers and quants. Have a look how easily you can get the data from this database and run your own model/portfolio:

http://www.quantatrisk.com/2013/11/...s-based-on-google-finance-data-fed-by-quandl/

-pawel

 

[Justin Zhen]

I'm a co-founder at Thinknum. You can find and manipulate financial data with our Time-series Analysis tool. Feel free to give me any feedback at jzhen@thinknum.com.

 

[Den Ryan]

Just stumbled across Applied Algo ETL Suite - a commercial analytic platform (Batch Scheduling/Load Balancing..etc), they have a built-in Http command which allow download from website without coding (Configuration only, auto create table and save download in embedded Firebird database).

https://appliedalgo.com/appliedalgoweb/doc/AppliedAlgo Application Scenario Internet Download.pdf
They have pre-configured bunch of samples to pull from index consituents/fx... from Yahoo..etc

 

[Dinh Huy Vu]

Hi everybody,

I am trying to replicate an empirical paper about CDS and am looking for data.

I need all publicly traded US Companies for which there are 5y-CDS-data (only senior debt), that means I need the Company name, an identifier: CUSIP 6 (and 8 if possible, otherwise I found a page where to convert), 5y-CDS-Ticker (which I can use to get the daily mid-spreads), (S&P) Rating, the SIC-Code and the GVKEY.
=> from 1 January 2003 - latest possible date (I read that Reuters have problems to provide CDS-Data after July 2010...)

I have access to Datastream and Bloomberg (although I have never worked with Datastream before...)

[I need this information to match it with further data, my control variables: Book Value of Debt, Market Value of Equity, 1y-treasury Bill, 10y-treasury Bill, daily holding period stock returns, number of outstanding shares, CRSP equally-weighted index returns.]

I guess it will turn out around 600-700 firms...

thank you very much!

edit:

as my university does NOT have a CMA license, I cannot obtain CDS Data. Is there anyone who could help me with that? I need these data for all U.S. Companies... :/

thank you

 

[MarekB]

Hi guys, do you have an idea where to find sound, relatively good quality data to build discount factors. I’m looking for deposit yields, LIBOR, FRAs, IRS, etc. It would be perfect if everything will be on one webpage.


Thanks in advance,

 

[MarekB]

Thanks a lot Chrisb for the link. It looks very useful, however I see that they don’t provide any reference rates or yields, like OIS, LIBOR or IRS quotation. Do you have any information if they can provide such data or know any other data provider?

Regards,
Marek