Data for Stock Market Prediction

wessel

Dear All,

Can someone suggest some data to use for stock market prediction?
You can download daily volume and opening / closing prices for just about any stock from Google finance and Yahoo finance.

Furthermore, with a little more effort you can download news headlines.

What more?
What data is typically used by professionals?

Best regards,

Wessel

ronmac

I like to start my data analysis process by collecting various financial data series and run the RM Mutual Information Operator on the series. That helps gets me in the right "stadium" with the data sets to use The Correlation Operator is useful also. Then I work up to getting on the "playing filed" using other RM operators. Lately I have been using the Kmeans Cluster Operator to help find some useful predictive patterns. Yahoo Pipes has some great tools for data collecting.http://pipes.yahoo.com/pipes/ Here is an Excel Macro I use to pull Yahoo data directly into Exce. Then I read the workbook into RM. Makes it fairly easy and fast to find useful relationships in your data. Sorry there is no short cut and I don't think anybody that believes they have discovered the "Holy Grail" is going to come forward with the secret recipe
A very good video I just watched covers this “Markets are Efficient if and only if P = NP” http://www.youtube.com/watch?v=7iOJZZFDKpc&feature=player_embedded

Cheers.
Ron McEwan

Sub GetData()

    Dim QuerySheet As Worksheet
    Dim DataSheet As Worksheet
    Dim EndDate As Date
    Dim StartDate As Date
    Dim Symbol As String
    Dim qurl As String
    
    Application.ScreenUpdating = False
    Application.DisplayAlerts = False
    Application.Calculation = xlCalculationManual
    
    Set DataSheet = ActiveSheet
  
        StartDate = DataSheet.Range("B2").Value
        EndDate = DataSheet.Range("B3").Value
        Symbol = DataSheet.Range("B4").Value
        Range("C7").CurrentRegion.ClearContents
        
'construct the URL for the query
        
        qurl = "http://chart.yahoo.com/table.csv?s=" & Symbol
        qurl = qurl & "&a=" & Month(StartDate) - 1 & "&b=" & Day(StartDate) & _
            "&c=" & Year(StartDate) & "&d=" & Month(EndDate) - 1 & "&e=" & _
            Day(EndDate) & "&f=" & Year(EndDate) & "&g=" & Range("C3") & "&q=q&y=0&z=" & _
            Symbol & "&x=.csv"
        Range("c5") = qurl
                   
QueryQuote:
             With ActiveSheet.QueryTables.Add(Connection:="URL;" & qurl, Destination:=DataSheet.Range("C7"))
                .BackgroundQuery = True
                .TablesOnlyFromHTML = False
                .Refresh BackgroundQuery:=False
                .SaveData = True
            End With
            
            Range("C7").CurrentRegion.TextToColumns Destination:=Range("C7"), DataType:=xlDelimited, _
                TextQualifier:=xlDoubleQuote, ConsecutiveDelimiter:=False, Tab:=True, _
                Semicolon:=False, Comma:=True, Space:=False, other:=False
            
            Range(Range("C7"), Range("C7").End(xlDown)).NumberFormat = "mmm d/yy"
            Range(Range("D7"), Range("G7").End(xlDown)).NumberFormat = "0.00"
            Range(Range("H7"), Range("H7").End(xlDown)).NumberFormat = "0,000"
UpdateScale
RemoveNames


'turn calculation back on
    Application.Calculation = xlCalculationAutomatic
    Application.DisplayAlerts = True
    Range("C7:H2000").Select
    Selection.Sort Key1:=Range("C8"), Order1:=xlAscending, Header:=xlGuess, _
        OrderCustom:=1, MatchCase:=False, Orientation:=xlTopToBottom
    Range("B4").Select
Paste

End Sub