Friday, January 30, 2015

Financial Data for Statistical Learning

There are plenty of financial and economic data which can be used in Machine Learning and Data Mining exercises. Here is list of mine:

FRED - Federal Research Economic Data.
CRSP - Center for Research in Security Prices
Ken-French - Fama-French 3-factor model data
John Cochrane - Data and Programs, Liquidity factor, Grumpy Economist.
Robet Shiller - Online data, and other research data.

Web Scraping is the new way to get the free "real-time" data.:)

Here is introduction given by Christopher Reeves.

Python (urllib, re, scrapy) and R(quantmod) are my favorite languages for FIN/ECON data scraping.

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