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

Quant Finance competitions

Stocks

• Numerai Datasets on Kaggle
• Numerai Signals Datasets on Kaggle

Multi-Asset

• Quantiacs

Factors data

Academic Resources

• GlobalFactorData
• OpenSourceAssetPricing
• FinancialsRatios

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

Deep Learning

• A projection-based framework for gradient-free and parallel learning

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

Virtue of Complexity

• The Virtue of Complexity in Return Prediction
• The Virtue of Complexity Everywhere
• APT or “AIPT”? The Surprising Dominance of Large Factor Models
• Understanding The Virtue of Complexity
• Seemingly Virtuous Complexity in Return Prediction

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

General Finance

• Financial Machine Learning
• The Term Structure of Machine Learning Alpha

RL Implementations

• Dopamine, Google

LLM

• AlphaEvolve: A coding agent for scientific and algorithmic discovery
• The Memorization Problem: Can We Trust LLMs’ Economic Forecasts?

Open Source LLM Implmentations

• Gemma, Google
• Llama, Meta

Kaggle Competitions

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