SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
Paul
Topic Author
Posts: 10789
Joined: July 20th, 2001, 3:28 pm

Where can I find free financial data?

March 5th, 2004, 10:49 am

We should compile a definitive list, although there is already quite a bit of info scattered throughout the Forums, for example.P
 
User avatar
exotiq
Posts: 1888
Joined: October 13th, 2003, 3:45 pm

Where can I find free financial data?

March 5th, 2004, 10:52 pm

Great idea, Paul! For starters, here are a few of my favorite sites, which I'm sure most people know of, that have some free data:1. Historical FX Rates: http://oanda.com/convert/fxhistory2. Historical Stock Prices: http://finance.yahoo.com/q/hp?s=yhoo3. Recent LIBOR rates: http://www.bba.org.uk/public/libor/4. Some Implied Volatilities: http://www.ivolatility.com5. Delayed Commodities: http://www.liffe-commodities.com/6. US Fundamentals: http://www.sec.govOf course, I also like some economic data:UK: http://www.statistics.gov.ukUS: http://www.census.gov , http://www.bls.gov , http://www.federalreserve.gov , http://www.ssa.gov , http://www.treasury.govWhat would be really nice to have is a concise list here that includes good sources of international data...
 
User avatar
Netwalker
Posts: 23
Joined: July 14th, 2002, 3:00 am

Where can I find free financial data?

March 8th, 2004, 1:02 pm

I am looking for somewhat specific financial datasets. I need prices sampled three times per trading day: open, middle day and close. May be someone can advice where such time series available for free.
 
User avatar
Julianrcook
Posts: 24
Joined: July 14th, 2002, 3:00 am

Where can I find free financial data?

March 10th, 2004, 11:50 pm

You can try www.dukascopy.com. See other discussion in the technical forum. They provide Daily and also Hourly High,low,close prices from which you can extract the centre open, mid and close prices. Their hourly history has a GMT time stamp I think.
 
User avatar
greenleaf
Posts: 39
Joined: March 10th, 2004, 6:02 pm

Where can I find free financial data?

April 13th, 2004, 5:36 pm

Hi all,Where can I find data (Standard & Poor, specifically) tick-by-tick down to 1-minute? Finance.yahoo.com only provides daily closing prices. I am doing some research on the dynamics of markets, so high-frequency data are essential. Please help. Thanks a lot.
 
User avatar
Icecloud
Posts: 124
Joined: September 24th, 2001, 8:20 am

Where can I find free financial data?

May 31st, 2004, 8:42 am

Back in college days when I did my thesis, I got the help of a friend who works in a bank. Basically all data from Bloomie, Reuters I had access to with her help. This is another great way to get free financial data... guess not all FX traders are arrogant BSDs!
 
User avatar
Xclr8tr
Posts: 16
Joined: May 27th, 2004, 12:12 am

Where can I find free financial data?

June 15th, 2004, 11:13 pm

Hear are a few for Forex that I use that are free:This first one was mentioned but I thought I would give the direct link,there are also other types of data at this site including live(real time) data feeds free.DukascopyHere is a downloader for the site above that is free fromWorkSmartsThis one I just found recently out of Russia, I can't vouch for the quality of the data asI haven't had a chance to use yet but looks like they have intraday going back quite a ways.Finam
Last edited by Xclr8tr on June 15th, 2004, 10:00 pm, edited 1 time in total.
 
User avatar
adas
Posts: 226
Joined: May 31st, 2004, 10:59 am

Where can I find free financial data?

June 18th, 2004, 6:42 am

QuoteWhere can I find data (Standard & Poor, specifically) tick-by-tick down to 1-minute? Finance.yahoo.com only provides daily closing prices. I am doing some research on the dynamics of markets, so high-frequency data are essential. Please help. Thanks a lot. I hate be the bearer of bad news, but high frequency data is going to cost you. Are you conducting research at a University? Usually they have access to high freq. data, and many (including mine) allow access to Bloomberg terminals.
 
User avatar
exotiq
Posts: 1888
Joined: October 13th, 2003, 3:45 pm

Where can I find free financial data?

June 18th, 2004, 2:12 pm

QuoteOriginally posted by: adasQuoteWhere can I find data (Standard & Poor, specifically) tick-by-tick down to 1-minute? Finance.yahoo.com only provides daily closing prices. I am doing some research on the dynamics of markets, so high-frequency data are essential. Please help. Thanks a lot. I hate be the bearer of bad news, but high frequency data is going to cost you. Are you conducting research at a University? Usually they have access to high freq. data, and many (including mine) allow access to Bloomberg terminals. And specifically, if you are at the University of California, the Berkeley Options Database has tick-by-tick spot and option quotes and trades, but unfortunately only between 1976-1997. For a fee, Berkeley will send you parts of it for commercial or academic research, or if you can tolerate spending some time there amidst all the pollen, political activism, traffic, badly-dressed women, and high state taxes, it certainly is a nice side benefit to have access to that data.
 
User avatar
adas
Posts: 226
Joined: May 31st, 2004, 10:59 am

Where can I find free financial data?

June 18th, 2004, 11:38 pm

Quoteif you can tolerate spending some time there amidst all the pollen, political activism, traffic, badly-dressed women, and high state taxes, it certainly is a nice side benefit to have access to that data. Now I'm really hoping I get accepted to their PhD program!
 
User avatar
esty
Posts: 42
Joined: May 20th, 2004, 7:07 pm

Where can I find free financial data?

June 24th, 2004, 2:04 pm

I had the same issue with high-freq data when I was in college. My solution was to d/l it from yahoo every minute. The problem is, you need to wait around forever. Obviously, the practicality of this is entirely dependent on your time constraints.
 
User avatar
duffman
Posts: 12
Joined: November 18th, 2004, 6:58 pm

Where can I find free financial data?

November 19th, 2004, 4:34 pm

I looked up the Berkeley Options Data Base and saw that they no longer offer access to the historical intra-day options data for the CBOE. Does anybody know if there's another good source for historical options tick data? I've been looking for while now, but haven't been able to come up with anything yet.
 
User avatar
JamesH83
Posts: 817
Joined: June 25th, 2003, 11:38 pm

Where can I find free financial data?

December 1st, 2004, 11:40 pm

hi, does anyone know where i can get reasonably priced historical intraday FX data? I don't need tick by tick data like the stuff Olsen provides.Thanks
 
User avatar
exotiq
Posts: 1888
Joined: October 13th, 2003, 3:45 pm

Where can I find free financial data?

December 23rd, 2004, 6:49 pm

So besides the BBA site for 1-12 month LIBOR fixings (I got the URL http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=141&a=627), does anyone have a site to get free data on long-term interest rates, say swap rates or goverment strips out to 10-30 years?
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On