Just to round out my quick post on dirty financial data, I came into work today and saw that Thursday’s closing price for SPY is now correctly stated as 94.15. Sometimes I half-wonder if somebody intentionally causes these mistakes just to put a stick in the wheel of quantitative backtests.
Before joining finance, my naive assumption was that the market’s high stakes would necessitate accurate, high quality data. In particular, I expected frequently traded stocks and ETFs on public exchanges to have accurately quoted end of day prices. In reality, even those data are noisy.
Yesterday’s (7/16/2009) closing price for SPY is one example. The NYSE reported a composite closing price of 93.11 for SPY, but the intraday price graph makes it clear that 94.15 is much more accurate. Here are two Bloomberg screens showing both the tabulated closing price and the intraday price plot.
Over 200 million shares of SPY trade every business day, yet bad closing prices like this still pop up.
