The purpose of this paper is to develop an algorithm to harvest user specified information on finance portals and compile it into machine‐readable datasets for quantitative analysis. The Visual Basic macro language in Microsoft Excel is applied to develop code that is not constrained by the single‐query function of Excel. The core of the algorithm is built around the splitting of the URL connector line and the placement of a continuously updating variable into which are looped as many tickers as there are in the input list. The output is then written to non‐overlapping cells. Numerical information placed on major finance websites can be harvested into structured machine‐readable datasets by applying this algorithm. This has been implemented in the Returnfinder App, which produces Total Return charts that include dividends.The algorithm extends user accessibility to websites that do not provide the facility of simultaneous downloading of information on multiple stock tickers. Furthermore, the procedure automates the downloading of multiple pieces of information (fields) and entire tables per ticker (record).
Agrrawal, Pankaj, "An Automation Algorithm for Harvesting Capital Market Information from the Web" (2009). Finance Faculty Scholarship. 1.
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