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I need to price 23,000 securities from 1999 to 2007, and they are surprisingly hard to find on subscription-based services, like Bloomberg LP, ThomsonReuters or S&P CapitalIQ offerings. Probably because deleted/expired/retired securities are dropped from the databases. Is there a good source on what financial information is available to/via Wolfram products, e.g. how much of my needs would be covered?

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  • $\begingroup$ Did you try Yahoo! Finance? There you can find and download (in CSV format) historical prices of many securities. $\endgroup$
    – Rod
    Jun 4, 2013 at 13:49
  • $\begingroup$ @RodLm, thanks, I tried, but their coverage is not that great, esp. going back to 1999. But of course, it is nice they offer this for free. $\endgroup$
    – László
    Jun 5, 2013 at 15:18
  • $\begingroup$ Maybe you could try Datastream... it's paid, but AFAIK it's one of the best services available in the market. Link here. $\endgroup$
    – Rod
    Jun 5, 2013 at 15:56
  • $\begingroup$ @RodLm, thanks, I tried it, they cover surprisingly little of my data. $\endgroup$
    – László
    Jun 6, 2013 at 16:37

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When you say price what do you mean ? Are you talking about retrieving historical market prices for securities i.e shares or are you talking about more complex pricing such as options, futures etc ? You can use the FinancialData[] function to obtain financial data. I would take a subset of your securities and explore FinancialData[] to see what data is available. I am sure there will be gaps in the data no matter what provider you use so you may find you need to use multiple data providers to build up the historical dataset your looking for and then use this to price/value your securities.

Checkout

http://reference.wolfram.com/mathematica/ref/FinancialData.html

I believe Yahoo finance is used and at various points i have had problems retrieving data. You should also check out WolframAlpha[] function as you can retrieve data using this.

http://reference.wolfram.com/mathematica/ref/WolframAlpha.html

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  • $\begingroup$ Thanks, David. Do you mean that the Finance Platform has nothing (data source) that Mathematica 9 itself does not already have built in? $\endgroup$
    – László
    May 11, 2013 at 15:14
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    $\begingroup$ You're right about yahoo being used. I saw that one popping up when I was trying to get Mathematica through our corporate firewall and was analyzing its service requests. I don't think yahoo will deliver the same or better information than all those paid services. $\endgroup$
    – Sjoerd C. de Vries
    May 11, 2013 at 15:14
  • $\begingroup$ @László Mma finance platform makes access to Bloomberg data easier. I believe a subscription to this service is not included. $\endgroup$
    – Sjoerd C. de Vries
    May 11, 2013 at 15:16
  • $\begingroup$ I'd still give it a try. Though I cannot look up securities by ISIN yet. $\endgroup$
    – László
    May 11, 2013 at 15:34
  • $\begingroup$ I was just referring to some standard functions that are available within mathematica. The finance platform may well have other functions/ways to access financial data but i haven't used them so can't comment. Another options is you can always download the data you need from Yahoo, google finance etc in files and then you can manipulate as you wish. $\endgroup$
    – David McHarg
    May 11, 2013 at 16:51

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