University of Pretoria
stock_data.csv (788.1 kB)

National Association of Securities Dealers Automated Quotations (NASDAQ) daily stock returns: a sample for flexible distribution modelling and optimal portfolio allocation

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posted on 2024-02-01, 13:34 authored by Matthias WagenerMatthias Wagener

This data consists of daily log-returns for the shares listed on the National Association of Securities Dealers Automated Quotations (NASDAQ). The period for the data is 4 January 2016 to 31 December 2020, available online, accessed 20 September 2021. The data was programmatically collected via the yahoo API using python. Thereafter, the log-returns for each stock was calculated for use in testing the modelling performance of flexible parametric distributions. The columns consist of the following data date, Open (opening price), High (daily highest price), Low (daily lowest price), Close (closing price), Volume (volume of sales), Returns (log daily returns), Stock (stock name). This data is used to test the performance of flexible distributions for portfolio optimisation.




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