Here I list a few free data sources for financial datasets.

Quant Finance competitions

Stocks

• Numerai
• Numerai Signals

Crypto

• Yiedl

Multi-Asset

• Quantiacs
• QuantConnect

Integrated Platforms

• Open Bloomberg Terminal
• Koyfin

Price data

Price/Tick data from exchanges

• Alpaca
• IEX

News data

• pygooglenews

Factors data

Academic Resources

• GlobalFactorData
• OpenSourceAssetPricing
• FinancialsRatios

Nasdaq Data Link:

• FRED
• CFTC
• FINRA
• S&P 500 Ratios
• US Treasury
• ML Bond Yields
• BITFINEX

Regulatory Filings

• SEC EDGAR data
• SEC financial statements
• European ESEF

Reference data

Reference data provides mapping between different data sources which is important when linking price data with fundamental/alternative data sources.

US SEC

• Mapping between ticker names and CIK number
• CUSIP to ticker map

Important Papers

Double Descent and Overparameterization

• Reconciling modern machine learning practice and the bias-variance trade-off
• Deep Double Descent: Where Bigger Models and More Data Hurt
• The Virtue of Complexity in Return Prediction
• The Virtue of Complexity Everywhere

Data Mining

• Open Source Cross-Sectional Asset Pricing
• Peer-Reviewed Theory Does Not Help Predict the Cross-section of Stock Returns
• Option Return Predictability with Machine Learning and Big Data
• Timing the Factor Zoo
• Automated Volatility Forecasting
• Machine Forecast Disagreement

Trend Following/Alternative Risk Premia

• Trend Filtering Methods for Momentum Strategies
• Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies
• A Primer on Alternative Risk Premia
• Carry

Time-Series

• QUANT: A Minimalist Interval Method for Time Series Classification
• OFTER: An Online Pipeline for Time Series Forecasting
• Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
• Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals
• polars-ds: Time Series Features
• tsfresh

GBDT vs NN

• When Do Neural Nets Outperform Boosted Trees on Tabular Data?
• Well-tuned Simple Nets Excel on Tabular Datasets

Concept Drift

• A Survey on Concept Drift Adaptation
• DoubleAdapt: A Meta-learning Approach to Incremental Learning for Stock Trend Forecasting
• Stratified learning: A general-purpose statistical method for improved learning under covariate shift

Bayesian

• BONE: a unifying framework for Bayesian online learning in non-stationary environments

Reviews

• Financial Machine Learning

General Finance

• The Term Structure of Machine Learning Alpha

LLM

• Gemma
• guanaco

Kaggle Competitions

• Jane Street
• Optiver Trading at Close
• Optiver Realised Vol
• Two Sigma Financial Modelling
• Two Sigma News Network
• Ubiquant