The preprocessing steps you mention for fMRI sound almost identical for analyzing market time series, so I guess they are common to all llinear regression and autoregressive models. Other common steps include differencing the data or working with % change instead of $ change and taking natural logs to convert exponential growh rates into linear ones for proper regression.

Please feel free to email me at any time. See my “About” page link at the top of this page to get my email address (trying to avoid spam by posting it exactly).

Best,
Lumi

I was looking for a website to download stock time series data going back 5 years when I came upon this great blog…No long ago I did fMRI research to analyze time-series data, and realized while I was doing it that I could probably perform the same or similar statistical analyses to stock time series data to do forcasting–I never got a hold of MATLAB to do my analyses, but wonder where I could download a free copy of the latest version and then try your script for downloading time series data for technology sector stocks from yahoo.finance.

In any case, it would be great to communicate with you through email to find out more about data pre-processing steps. For fMRI data, there are a series of steps I go through before analyzing the time series–I’m not sure if the assumptions (e.g. normal distribution, homogeneity of variance, etc.) for analysis of stock time series data are different from these and if they require different pre-processing steps as a result (detrending, removing outliers, etc.)

I appreciate your blog and look forward to hearing from you soon, as your help will go a long way for me.

Best,
Lee

[hist_date, hist_high, hist_low, hist_open, hist_close, hist_vol] = get_hist_stock_data(‘IBM’);

Thanks for the reply.
Yeah i found out that my university business dept has access to compustat. However since i am an eng student i wont have the access to that. I will find a way to work around that. Thanks for pointing it out. I would want to clarify more doubts. if you are ok , can u share ur email id so that i can write too you rather than posting it on ur posts? I know you are busy but your help will be of immense use to me.

Thanks
div – sohamm@gmail.com

If you can find the metrics on the web, you can easily grab them with Matlab. Of course the trick is finding what you’re after.

For most backtesting involving metrics beyond just price high, low, open, close, and volume, I’ve never been able to go back beyond about 10 years b/c that’s about all I can find for free.

As I mentioned in the post, I once inquired about purchasing Compustat in order to have more than just historical price. But it’s outrageously expensive for a private individual. Perhaps your university business department has access?

Great posts. I am a grad student and i am working exactly on this… my background is control engineering.

I wanted to know how to obtain Historical Data for
1) Companies , P/E and other fundamental data… such as the data listed on the Key statistics page on yahoo.

2) How to download other macro economic data such as the FED interest rate, unemployment rate… for this i guess we need to scrape the data from the web page..

can you help me on this..
thanks
Divakar