L'Agence nationale de la recherche Des projets pour la science

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Données financières historiques (D-FIH)


Action : Equipements d'excellence


N° de convention : 10-EQPX-0018

Informations générales

Résumé du projet

DFIH develops an infrastructure to collect, align and share data on all the assets traded on the French stock markets and listed issuers over the 19th and 20th centuries. It registers twice per month spot, forward and options prices of securities, currencies and precious metals, besides securities events relevant for harmonizing prices over time. It records information on issuers such as boards, headquarters, balance sheets and income statements. It aims at broadening its scope to include a larger variety of data. To achieve its goals, it contributes to the development of innovative technologies of data extraction. Main achievements for Phase 1 are: 1) Completion of the database for securities traded on the Paris Bourse from 1796 to 1951 and OTC market from 1873 to 1898; 2) Completion of the database for the issuers up to 1953 (Paris Bourse and OTC market); 3) Development of specific software, particularly for data extraction and enrichment. The entire initial program of DFIH will not be completed by December 2017 because 1) a haircut of 25% of the submitted budget prevented the treatment of the regional stock exchanges; 2) the issues faced in the relationships with providers, unanticipated difficulties in the treatment of historical sources and some choices made to maintain high data quality made the steps longer and more expensive. Concerning Phase 2, DFIH engaged projects at national and European levels in close cooperation with PROGEDO and CESSDA. In France, with EUROFIDAI and the Equipex BEDOFIH, it is building CEDEFI, a research infrastructure on French financial data by CNRS, EHESS, PSE, ILB and Dauphine University within PSL. In Europe, DFIH coordinates a project submitted within the H2020 InfraDev program with 11 institutions from 7 countries, to develop an infrastructure on the DFIH model. Research projects based on DFIH have been financed by ANR and PSL University. The database is exploited by several researchers in France and abroad.

(L'auteur de ce résumé est le coordinateur du projet, qui est responsable du contenu de ce résumé. L'ANR décline par conséquent toute responsabilité quant à son contenu.)