As part of my thesis on Visual Analytics I need to find a financial dataset to work on. The purpose of the thesis is to analyze a big-data-grade dataset and then visualize it in different ways. However so far I haven't a reliable source of financial big data. Where could one find such data?
I'm an accounting major and I know that for a number of my classes I've had to use various financial databases that have just tons of information available, but they're pay-services. However, I'd check out what your school has and see what can be downloaded.
All publicly traded companies also have to submit annual reports (10-K) and quarterly reports (10-Q) which you can find here: http://www.sec.gov/edgar.shtml
The Yahoo finance API for Python is also extremely convenient: https://pypi.python.org/pypi/yahoo-finance/1.2.1 It includes being able to get historical stock information with some very simple function calls.
Of course, there's no dearth of sources available since the government kind of makes a big deal about financial data having to be public. This was the number two result on my google search for "financial datasets": http://www.kdnuggets.com/datasets/index.html
Take a look at Yahoo! Finance for daily, weekly, monthly data on S&P500 and other tickers. However, if you want microaggregated data (e.g. seconds, minutes, hours ---> real big data) you have to pay (a lot!).