An Extensible Model for Historical Financial Data with an Application to German Company and Stock Market Data

36 Pages Posted: 22 Jan 2021

See all articles by Dennis Gram

Dennis Gram

Leibniz Institute for Financial Research SAFE

Pantelis Karapanagiotis

Goethe University Frankfurt

Jan Krzyzanowski

Goethe University Frankfurt

Marius Liebald

Goethe University Frankfurt

Uwe Walz

Goethe University Frankfurt - Institute of Economics; Center For Financial Studies (CFS); Leibniz Institute for Financial Research SAFE

Date Written: December 2020

Abstract

Broad, long-term financial and economic datasets are a scarce resource, in particular in the European context. In this paper, we present an approach for an extensible, i.e. adaptable to future changes in technologies and sources, data model that may constitute a basis for digitized and structured long- term, historical datasets. The data model covers specific peculiarities of historical financial and economic data and is flexible enough to reach out for data of different types (quantitative as well as qualitative) from different historical sources, hence achieving extensibility. Furthermore, based on historical German company and stock market data, we discuss a relational implementation of this approach.

JEL Classification: C81, C82

Suggested Citation

Gram, Dennis and Karapanagiotis, Pantelis and Krzyzanowski, Jan and Liebald, Marius and Walz, Uwe, An Extensible Model for Historical Financial Data with an Application to German Company and Stock Market Data (December 2020). SAFE Working Paper No. 300, Available at SSRN: https://ssrn.com/abstract=3770607 or http://dx.doi.org/10.2139/ssrn.3770607

Dennis Gram

Leibniz Institute for Financial Research SAFE ( email )

(http://www.safe-frankfurt.de)
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

Pantelis Karapanagiotis

Goethe University Frankfurt ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany
+49 69 798 33673 (Phone)

Jan Krzyzanowski

Goethe University Frankfurt ( email )

Grüneburgplatz 1
Frankfurt am Main, 60323
Germany

Marius Liebald

Goethe University Frankfurt ( email )

Grüneburgplatz 1
Frankfurt am Main, 60323
Germany

Uwe Walz (Contact Author)

Goethe University Frankfurt - Institute of Economics ( email )

Postfach 81
D-60054 Frankfurt
Germany

Center For Financial Studies (CFS) ( email )

Grüneburgplatz 1
Frankfurt am Main, 60323
Germany

Leibniz Institute for Financial Research SAFE ( email )

(http://www.safe-frankfurt.de)
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

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