金融数据处理.ppt

金融数据处理彭小令 2007/3/19 金融数据库介绍 CRSP files provide a strong foundation for economic forecasting , stock market research , and financial analyses to academic institutions, investment banks, brokerage firms, corporations, banks, and government agencies. Eighty percent of academic research in stock market and investment analysis uses CRSP data as a source due to pleteness and accuracy of the information 数据来源 1. 美国股票和指数数据:纽约交易所和美国交易所数据; 2. 美国股票和指数数据:纳斯达克数据; 3. 美国国库券数据:多种来源; 4. 美国共同基金数据:多种来源。 CRSP ( Center for Research in Security Prices, 证券价格研究中心,芝加哥大学商学院) http://www. crsp . uchicago . edu AMEX (American Stock Exchange). 美国证券交易所 NYSE (New York Stock Exchange). 纽约证券交易所 NASDAQ (National Association of Securities Dealers Automated Quotation System. 全国证券交易商自动报价系统协会数据范围?美国股票数据;美国股票指数;美国国库券;美国共同基金。四种 CRSP 数据 1. 证券或指数的整体描述或总结数据; ?Header identification or summary data valid for the entire range of the security or index. 2. 时间序列观测值数据; ?Time series data with observations recorded for each period in an associated calendar. 3. 事件数据; ?Event data representing status changes, random events, or observations. The time of the event and relevant information is stored as different elements of the event. 4. 日期数据。?Calendar data including the calendar periods used to synchronize time series observations. Daily databases are based on calendars of daily trading dates, and monthly databases are based on calendars of month-end trading dates. 提供数据文件格式? C, FORTRAN, SAS, ACCESS, EXCEL. 指数标识模块股票数据库结构股票数据库结构股票名变更历史子模块 Namedt 股票名有效期起始日| Name effective date Namendt 股票名有效期结束日| last date of nam 公司简称| Company name Shrcd 股票类别代码| Share code Excd 交易所代码| Exchange code Iccd 行业分类代码| Industrial classification code 股票数据库结构分配事件模块描述公司对股东进行的一系列分配活动(派息,送股,股票分割,并股,配股和增发新股)。 Distcd 分配事件代码 | Distribution code Exdt 除权除