I have a job where I get to use my data skills too rarely, I'm looking for a more OR related job while I finish my masters. To keep me busy while I reel in that perfect job I was thinking of setting up some problems for myself in order to develop my skills etc. I need some problems and some data, so my first thought was the stock market. I've done a little googling around for a good dataset to download or purchase and have some potentials, but I thought I would reach out to this community in case somebody "in the know" has any advice. My first thoughts are on the obvious metrics (open price, close price, high, low etc.) As I get more sophisticated though I'll probably wish I had data on things like company fundamentals, volume, and some stuff I haven't thought of yet. I'd like to publish my final analyses on a blog so the dataset I end up with needs to permit that type of use (charts, summarized statistics etc.) Any guidance?

asked 22 Feb '12, 11:29

austinboston's gravatar image

austinboston
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I don't have an answer, but be sure to add yourself to the list of ORMS blogs when it happens :-)

(22 Feb '12, 11:49) Luis de la T...

You may take a look at "Q: Where can I get large datasets open to the public?" @ Quora.

[The "tl;dr" version: Try InfoChimps (first).]

Furthermore: Here's a quick note about how to gather stock market data through Yahoo's Finance API.

link

answered 22 Feb '12, 15:48

fbahr's gravatar image

fbahr ♦
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accept rate: 13%

Wow, a treasure trove. Thanks. I built a process to scrape a ton of data off of Yahoo's API, but struggled with the list of tickers to feed it, mainly because of delisted companies.

(22 Feb '12, 17:16) austinboston

If you are venturing into stock-market related stuff, I suggest you participate or at least follow the discussions at quant.stackexchange.com. I have found that the questions are intelligent and relevant, and answers high quality.

More specific to your question, look at the thread in this URL. It has range of answers covering various options.

link

answered 22 Feb '12, 16:30

Samik%20R.'s gravatar image

Samik R.
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accept rate: 2%

edited 19 Jul '12, 08:24

fbahr's gravatar image

fbahr ♦
4.6k716

That is exactly what I'm looking for. It is going to take me a while to investigate all those, but looking good so far. Thanks!

(22 Feb '12, 18:21) austinboston

There was a thread on OR Exchange a while back on a related theme -- data mining competition involving the stock market. It might be of use to you.

link

answered 22 Feb '12, 14:58

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AndyT
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accept rate: 7%

edited 18 Jul '12, 10:22

fbahr's gravatar image

fbahr ♦
4.6k716

Thanks, that doesn't give me the data I need, but is very interesting. I plan on using R to do my analysis, so I plan on looking closely at that code.

(22 Feb '12, 15:15) austinboston

You're welcome - I posted it mainly because of the similar application area. Not sure if you noticed them, but there does appear to be data sets at the associated link from that thread

(22 Feb '12, 15:33) AndyT

The "quantmod" package in the statistical environment of R lets you load OHLC data on just about every ticker symbol from yahoo or google finance.

cran.r-project.org/web/packages/quantmod/index.html

To get R download from

www.r-project.org

link

answered 18 Jul '12, 09:09

larrydag%201's gravatar image

larrydag 1 ♦
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accept rate: 9%

edited 19 Jul '12, 08:22

fbahr's gravatar image

fbahr ♦
4.6k716

can anyone see my answer? I'm not sure what happened to the text.

(18 Jul '12, 09:11) larrydag 1 ♦

We just got two empty notifications in a row, don't know what happened.

(18 Jul '12, 10:26) Bo Jensen ♦

@larrydag: Hm... something seems to be broken here; once you insert a link to a post the whole answer/comment disappears [from the document's sources]. Looks like either a) someone "touched" the site's template files or b) I'm missing an orphaned element or special character that keeps the templates from rendering appropriately. Anyway, it has nothing to do with your post.

(19 Jul '12, 08:26) fbahr ♦

I had the same problem and I had looked everywhere for a Market's data. After that I have written a ruby script to scrape price from yahoo's finance page every .30s and save it on a database.

link

answered 03 Jul '13, 18:25

x3d0's gravatar image

x3d0
2012412
accept rate: 0%

eoddata.com. I use this site and they offer free daily downloads and reasonably priced historical data.

link

answered 05 Jul '13, 07:11

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ilancerose
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accept rate: 0%

First, do very well to seek as much information anywhere on the characteristics of the types of financial transactions or investments that are looking to perform. I in particular, I suggest, short-term investments and long term.

link

answered 15 Jul '12, 10:52

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ronnie
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edited 25 Jul '12, 11:22

fbahr's gravatar image

fbahr ♦
4.6k716

You heve here a well constructed how to do online trading manual, I agrre that before you make any deccissions you should search relevand information

(23 Jul '12, 15:49) jeniferr

Full disclosure: I work for Nutonian.

Several of our users have tried to build trading models using our Eureqa product. I included links to the some of the discussion, but I don't know if they'll be a ton of value. - Matt

Compute a new relative strength (RS) function on all the stocks that are currently trading

https://groups.google.com/forum/#!searchin/eureqa-group/stock/eureqa-group/p6Rblpd22B8/PpjBnKgMUTMJ

Modeling Stock Market Data

https://groups.google.com/forum/#!searchin/eureqa-group/stock/eureqa-group/-3r69zwGBY0/0fImqYvIWsAJ

How to encode trading strategies as straightforward formulas

https://groups.google.com/forum/#!searchin/eureqa-group/stock/eureqa-group/GTqpCm0wr9Y/8kK99CKRVQEJ

link

answered 12 Jul '13, 17:36

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mfleming_nut...
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Asked: 22 Feb '12, 11:29

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Last updated: 12 Jul '13, 17:36

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