TStock and index options are traded on the financial market and their prices are determined by supply and demand. These prices are publicly available and are forward-looking: they contain information about the aggregate view of the market about the future dynamics of the financial market. The Volatility Index (VIX) is the market barometer for volatility and is calculated continuously during the trading day by the CBOE. The Herd Behavior Index (HIX) is a recently developed measure for the degree of co-movement between stocks. high levels for the HIX correspond wiht a market where stocks are moving strongly together. Currently, up-to-date levels for the HIX are not available. In this project we will develop an online tool which calculates the HIX in real time during the trading day. This requires building a webscraping tool for option data after which the data is used as input in the HIX calculations.
Students: Padalia Bansi, Tamara Beecroft, Biwen Ling, Yuxin Wei, Haocheng Wu, Yun Xia
Supervisor: Daniël Linders