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In the world of stock and hedge funding, does there exist, for instance, a way to gather a tremendous amount of data on the price of wheat from 20 years on the stock exchange (For instance, on Wall Street stock)? In fact, I'd like to treat, statistically, the price of a stock product, but I don't know where we may find out that type of data.

In the James Simons's discussions (A rare interview with the mathematician who cracked Wall Street), Simons explains that "The real thing was to gather a tremendous amount of data -- and we had to get it by hand in the early days. We went down to the Federal Reserve and copied interest rate histories and stuff like that, because it didn't exist on computers." (Time : 11:26), but where is that Federal Reserve?

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    Try this website fred.stlouisfed.org , "Federal Reserve Economic Data" ; they offer various different data access mechanisms. – knb Jul 19 '16 at 8:56
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If you can program, I would pull data from the Yahoo finance API. Otherwise, eoddata seems to have what you are asking for. 20 years of end of day data in a number of file formats.

  • Hello Marcus, I am actually learning the Python language by myself. Could you just explain exactly what do you mean by "If you can program, I would pull data from the Yahoo finance API"? – Law Jul 19 '16 at 23:53
  • Python is a good language for data gathering/processing. I use R, but lots of similarities. Have a search on google for "python api" you should find tutorials such as codecademy.com/courses/python-intermediate-en-6zbLp/0/… – Marcus D Jul 20 '16 at 9:46
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    For my project, one of my good friends suggests me to learn R. Eventually, I'll take time to learn by myself this language.Thanks – Law Jul 20 '16 at 10:36
  • Hello marcus... If I want the price of gas from September 16, 2015 to September 16, 2016, could you provide me this database? – Law Sep 16 '16 at 23:16
  • @Law if you mean natural gas, try eia.gov/dnav/ng/hist/rngwhhdd.htm ... I searched on google for "price of natural gas daily download" – Marcus D Sep 17 '16 at 7:03
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Have you checked out Quandl?

We have a lot of historical data on stocks including EOD stock prices, data on OHLC and volume, intraday data and some excellent futures databases.

Quandl lets you download data in the tool of your choice including Python, R and Excel and the Quandl API is free to use.

Here are some links to explore:

https://www.quandl.com/vendors/edi

https://www.quandl.com/data/FRED

https://www.quandl.com/browse

https://www.quandl.com/collections

https://www.quandl.com/tools/full-list

[Disclosure: I work for Quandl]

  • Thanks a lot! I'll certainly check this out when I'll start my project. – Law Jul 20 '16 at 19:39

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