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I'm hoping to study stocks with the largest moves in a single day. Is there either a website which provides historical data, or a webpage with sufficient parameters in the URL so that I can scrape past data?

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The Wall Street Journal provides a historical database of the largest advancing and declining stocks on the NYSE, the Nasdaq, and Arca (or a composite of all 3) going back 20+ years. You have to do it a day at a time but hopefully it does the trick for you:

http://www.wsj.com/mdc/public/page/2_3021-losenyse-loser.html?mod=topnav_2_3002

  • Exactly what I need, especially with the clear structure of the dates. – Eric Feb 23 at 1:30
  • I'm curious about data scraping of which I know nothing about. Do you capture the data on each page manually and scroll back historically one day at a time or do you write a program of sorts that collects the data? – Bob Baerker Feb 23 at 14:42
  • Assuming that it's OK with a website (you have to check the terms), you write a program to go to the URL for you, then parse the HTML. As an example, you can do this using Python (a programming language) and Beautiful Soup (crummy.com/software/BeautifulSoup/bs4/doc) – Eric Feb 23 at 14:52
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    While it's well above my pay grade, thanks for the link. It gave me an idea of what the scraping process involves. – Bob Baerker Feb 23 at 17:04

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