Financial Data Engineering

Chapter 2. Financial Data Ecosystem

As discussed throughout this book, data will be placed at the heart of financial market operations. As digital transformation and cloud migration efforts make their way through the financial arena, more and more financial activities will leave a digital trace. Consequently, the amount, variety, and speed of financial data generation is constantly increasing. This, in turn, has given rise to a vast and complex financial data landscape, encompassing numerous sources, types, structures, providers, delivery methods, and datasets essential for market participants to conduct their financial and business activities.

This chapter breaks down the key components of the financial data ecosystem and illustrates their features and issues.

These include the following key areas:

• The different sources of financial data

• The data structures used in finance, along with their technical details

• The variety of data types that the financial industry generates and consumes

Then, I’ll give an overview of some of the most important financial datasets used by practitioners and researchers.

Sources of Financial Data

Financial data can originate from a variety of sources, so let’s establish a few baselines. In this book, the term data source will be used to indicate the location, entity, or mechanism behind the generation of financial data. These sources may differ in a number of ways:

Accessibility

Whether the data is open access, commercially licensed, or proprietary ...