What option? Which prices? ATM?
-
C++ Programming for Financial Engineering
Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!Python for Finance with Intro to Data Science
Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!An Intuition-Based Options Primer for FE
Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!
Master list of free financial data
- Thread starter Andy Nguyen
- Start date
Joy Pathak
Swaptionz
Joy Pathak
Swaptionz
Anyone know where I can get corporate bond cds spread historical prices? If the service costs, can anyone suggest an affordable place. Majority are very pricey!
bob
Faculty (Undercover)
Depends what exactly you need. As you probably know, MarkIt is the standard vendor in this space but is pricey. Fitch has a similar product (called ValuSpread, which is a horrible name) that is less expensive, and I have had a good experience with their data.
The other possibility is to see if you can get histories from a dealer you perhaps already have a relationship with, but the quality on these will not be as high as services that aggregate across multiple dealers and make determinations about stale quotes and so on. Individual dealers' spreads can differ by a surprising amount from the consensus number, and for thinly traded names may go days without changing at all.
The other possibility is to see if you can get histories from a dealer you perhaps already have a relationship with, but the quality on these will not be as high as services that aggregate across multiple dealers and make determinations about stale quotes and so on. Individual dealers' spreads can differ by a surprising amount from the consensus number, and for thinly traded names may go days without changing at all.
Joy Pathak
Swaptionz
I am looking for 5 year CDS spreads on high yield corporate bonds in the energy sector for now, with the highest frequency available. Hopefully liquidity volume a long with it too on the contracts.
Markit is what I have been looking at, but it is expensive. You're right about individual dealer spreads.
I will look into Fitch. Thanks!
Joy Pathak
Swaptionz
There are lot of Wall Street professionals on this community who can help. Here is a message from a WSEA (Wall Street Executive Anonymous)
Joy Pathak
Swaptionz
Yeah. Can you be a bit more specific. I can get you options data, but you have to give me a ticker, strike, expiration, something....
I'm a graduate student at KULeuven, Belgium, graduating in computer science. The goal of my thesis is to predict the stock market, using online financial news. To do this, I need lots of historical intraday market data and historical news to match the stocks. The market data I need, should have a granularity of less than a few seconds minutes and should cover between a few months and a few years. It should consist of a coherent collection of stocks, like S&P 500.
I noticed it isn't easy to gather such market data on the internet. The only usable source I could find was freeserv.dukascopy.com/exp. I wrote a program to download and save their data, but after a few downloads my ip address got banned. The financial news should be easier to gather, I'm planning on using Yahoo news.
If somebody could supply me with the market data I need, I will be very grateful. I will of course give you updates on my thesis and, if you request, will do some light programming for you in return.
I noticed it isn't easy to gather such market data on the internet. The only usable source I could find was freeserv.dukascopy.com/exp. I wrote a program to download and save their data, but after a few downloads my ip address got banned. The financial news should be easier to gather, I'm planning on using Yahoo news.
If somebody could supply me with the market data I need, I will be very grateful. I will of course give you updates on my thesis and, if you request, will do some light programming for you in return.
Hi @Gijsvd
Sure. Go to http://www.nasdaq.com/
Then put a symbol of the stock (or any instrument) you want to view the historical quotes for. Then find and click Historical Quotes on the left menu options and you will be presented with the table holding the quotes by default for th last 5 days. You can enlarge that history up to maximum 10 years (daily data). You can download it in excel format.
For example the historical quotes for Citigroup common stock is here:
http://www.nasdaq.com/aspx/historical_quotes.aspx?symbol=C&selected=C
Sure. Go to http://www.nasdaq.com/
Then put a symbol of the stock (or any instrument) you want to view the historical quotes for. Then find and click Historical Quotes on the left menu options and you will be presented with the table holding the quotes by default for th last 5 days. You can enlarge that history up to maximum 10 years (daily data). You can download it in excel format.
For example the historical quotes for Citigroup common stock is here:
http://www.nasdaq.com/aspx/historical_quotes.aspx?symbol=C&selected=C
Thanks for your fast reply!
Unfortunately, nasdaq.com can only provide me with historical EOD market data. The data I need is intraday data with a granularity of a few minutes or less. A source for such data would be very welcome!
Go to this site: http://www.eoddata.com/default.aspx
Find the Stock exchange you want to download the data from. For example, let it be Nasdaq and in the drop down box above (in downloads section) choose the format you need e.g. spreadsheet (excel). And mark the intervals you need 1 minute, 10 minutes, ... , 60 minutes are the options. And click download but I guess you need to be registered to download it. So you'll be directed to registration form. Fill the gaps and I hope it'll allow you to download. If not, notify me and I'll search for other sites.
I tried to download the data, but apparently only platinum members ( $30/month) can download historical intraday data not older than one month . To download intraday data older than a month, and maximum one year old, I will have to pay an extra $120. If I can't find any free data, this is the most valuable option yet. But, since I'm a student, I'd rather find a free or cheaper source.
Alright, nonetheless, thanks for your help!The least time interval I could find in many areas for free is 1 day. Maybe other members know something.
I'm hoping for members that have the data I need and are willing to share it with me.
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.
If you are interested, I can send you a list of papers of existing systems.
If you are interested, I can send you a list of papers of existing systems.
Similar threads
Boston MSMFT
About the MSMF program at BU Questrom
