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I'd like to do some statistical analysis of stock prices. In particular, I'd like to focus on the movement of individual stocks, and I'd like fairly fine-grained resolution; say, a price every 15 seconds or so of any particular stock over an extended period of time (a year would probably suffice.) Does anyone know where I can find this data? This is more of a casual experiment, so I don't want to pay a significant amount of money (and free would be ideal.)

asked Aug 05 '11 at 13:37

Bill%20Horvath%20II's gravatar image

Bill Horvath II
105


There is no free service that would give you 300+ days of financial movement of a stock over 15sec intervals. That's nearly half a million data points for one stock. I don't think anyone has seen the utility of this, but I may be wrong. If you really believe this exists, I would suggest contacting the economics department of a university; if you are an alumnus of one with an econ department maybe that's an avenue for you.

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answered Aug 08 '11 at 02:33

Christopher's gravatar image

Christopher
375

Every 15 seconds for free seems like quite a tall order. You're talking about valuable information held by bankers -- these are not people generally known for their unfettered generosity. If you want to do statistical experiments with stock data, though, Yahoo does provide free historical information on daily closing prices. I run models in R (http://www.r-project.org/), a free open-source statistics language, using a free library called "stockPortfolio" by David Diez and Nicolas Christou. It's a great playground. Short answer is that there is a chasm of money between theory and practice.

link

answered Aug 09 '11 at 16:04

Ash's gravatar image

Ash
1

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Asked: Aug 05 '11 at 13:37

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Last updated: Aug 09 '11 at 16:04

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