time series data for stocks of NYSE or other stock exchange

[emceeaye]

Hi everyone,
I'm looking to do statistical analysis on stock time-series data. Does anyone know where I can download/access time-series data for the stocks of the NYSE and the other Stock exchanges? For the time-series data, I would like it at different sampling rates (e.g., closing prices for the day; price 4 times a day, etc.) for different ranges of time (e.g., past 1/2 year, past 1 year, past 2 years, past 5 years, etc.). Is there a place where I can easily download this data in .csv format or other such format so I can import it into a statistical program for analysis?

Also, I'm wondering if anyone could recommend a good website where I can practice investing in stocks but not with real money so I can follow my performance. I remember about 10-15 years ago, you could open an Etrade account and do this. I'm interested in doing this and keeping track of my performance using a mock portfolio and not with real money at first of course. While I think Etrade still has this, you only have a 60-day free trial.

Any help with this would be extremely helpful and would go a long way for me.

Thank you in advance.

 

[GeofT]

Hi, the easiest option is the likes of yahoo and google finance who will let you down a .csv for a limited period.

If you have access to a university or happen to be (or know) a student they will probably have access to Thompson Datastream which is a very good historical data service.

Also try contacting the Stock Exchanges directly, which can be slow.

 

[DionysusToast]

Hi everyone,
I'm looking to do statistical analysis on stock time-series data. Does anyone know where I can download/access time-series data for the stocks of the NYSE and the other Stock exchanges? For the time-series data, I would like it at different sampling rates (e.g., closing prices for the day; price 4 times a day, etc.) for different ranges of time (e.g., past 1/2 year, past 1 year, past 2 years, past 5 years, etc.). Is there a place where I can easily download this data in .csv format or other such format so I can import it into a statistical program for analysis?

Also, I'm wondering if anyone could recommend a good website where I can practice investing in stocks but not with real money so I can follow my performance. I remember about 10-15 years ago, you could open an Etrade account and do this. I'm interested in doing this and keeping track of my performance using a mock portfolio and not with real money at first of course. While I think Etrade still has this, you only have a 60-day free trial.

Any help with this would be extremely helpful and would go a long way for me.

Thank you in advance.

If you get this data - what will you use to analyze it ?

If your request for data is reasonable to start off with - let's say less than 10 symbols, a few different time frames. I would be able to provide you with the data free of charge.

If you need a lot of different symbols in different timeframes, it's too much hassle. Plus you should probably start off with just a few symbols anyway unless you are heading towards some sort of arbitrage system that utilizes a number of 'related' markets.

What is it you need initially to play with ?

Also - what's your goal of what to do with this data. I may be able to give you a little guidance. PM me and I'll give you an email addy if you don't want the discussion public.

Cheers

DT

 

[pssonice]

yahoo msn barcharts .... stockdata, futuredata, ...

everything is available for free, i.e. http://uk.finance.yahoo.com/q/hp?s=ARM.L

 

[emceeaye]

Hi, the easiest option is the likes of yahoo and google finance who will let you down a .csv for a limited period.

If you have access to a university or happen to be (or know) a student they will probably have access to Thompson Datastream which is a very good historical data service.

Also try contacting the Stock Exchanges directly, which can be slow.

Hi Geof

Thanks for the Thompson tip.

My background is in brain functional connectivity research, and I've been analyzing a lot of time series data and running stats on it, I've been using the fMRI data analysis stat package AFNI to do my analyses. Given input stimulus function(s) + measured FMRI signal data, one of the stats I'm using estimates the response function which is convolved with the stimulus time series to give an estimated response (the values are of brain MR signal). Then I use various statistics to indicate the goodness of fit through cross-correlating relevant times series data in different parts of the brain.

While doing this, It's been difficult to resist the urge to apply these same techniques to model the time series of stock prices (or returns). In particular, I'd like to model a successful stock in a particular market sector and then cross-correlate the time series of this historically successful stock with that of other newer stocks to look for significant relationships; and model a stock's price time series and use forecasting (e.g., exponential smoothing) to predict future values of it. I'd like to use non-linear modeling methods (ARIMA and ARCH) to do this.

As I'm reading about this in Introductory Econometrics and Finance, several questions come to mind: How often do ARIMA and ARCH modeling methods (given that the individual who implements them does so accurately) actually fit the stock time series data they target, and how often are they effective in predicting future stock values? I ask because I realize both that these modeling methods are often imperfect at fitting to the data, and because I'm not familiar enough with the nature of the data to know the limitations of the techniques.

Rather than randomly selecting stocks to compare or model (given no background in finance), 1) how feasible is this to accomplish, and 2) what is an efficient approach (if any) to selecting the stock time series I'm going to analyze?

Which stats program is the most user-friendly for this?

Any thoughts on this would be great and would go a long way for me.

Thank you.