Research Computing >> Data >> The Institute for Financial Markets
INSTITUTE FOR FINANCIAL MARKETS DATA
Daily futures data from the The Institute for Financial Markets is available to current faculty and doctoral students. The data is stored in the /kellogg/data/futures path in skew3. The CD-ROM may be borrowed from Research Computing by Kellogg faculty and doctoral students, if needed. The files are in flat ASCII format with headers. Refer to the documentation and access instructions below.
The daily futures data cover 115 different contracts in U.S., Canadian and non-North American exchanges. It includes prices (generally, open, high, low, and settlement), volume and open interest. The availability and time coverage of a particular variable depends on the contract. The period covered (in terms of end of contracts) ranges from 1969 (contracts made in 1968) through 2001 (contracts made through September 1999).
In addition to the data, Kellogg Research Computing has written a few SAS programs for the convenience of users.
The Institute for Financial Markets
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