This project, from the University of St. Gallen, explores volatility indices, focusing on VSTOXX and MSCI World calculations using Python, and volatility derivatives modeling with R. It includes tools for financial analysis and trading strategies, referencing key literature.
Visualization of MSCI indices
Build a USE4-style (Barra) equity factor risk model from scratch on Sharadar data — specs + a full textbook; you write the code.
This repository includes the scripts to replicate results of my paper entitled "Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices".
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