Related question: if I despite the warnings fancy my chances at this sort of thing, what sort of historical data can I get? Is free [machine-readable] stock market data easy to come by, or impossible?
But I believe you have to buy the more detailed data from the exchange itself. I have no idea how you do this but as far as I know it costs maybe a few thousand per month.
Comments
Related question: if I despite the warnings fancy my chances at this sort of thing, what sort of historical data can I get? Is free [machine-readable] stock market data easy to come by, or impossible?
I think you can get daily summaries quite easily, eg:
http://www.google.com/finance/historical?q=NASDAQ:GOOG
and from memory when the markets are open you can see the order book stuff:
http://finance.yahoo.com/q/ecn?s=GOOG+Order+Book
But I believe you have to buy the more detailed data from the exchange itself. I have no idea how you do this but as far as I know it costs maybe a few thousand per month.
So more stuff:
http://www.statslab.cam.ac.uk/~chris/links.html