This chapter is about the analysis of data and investment strategies related to the EURO STOXX 50 and VSTOXX indexes. It uses public data sources (“open data”) and draws heavily on the capabilities of the Python library pandas for data analytics.
The chapter has two major goals. First, it reproduces the stylized fact that stock indexes and volatility indexes in general are negatively correlated. This suggests that (products based on) volatility indexes are a means to hedge market risk resulting from stock indexes. The question, however, is how to best exploit the negative correlation in asset allocation terms. Therefore, the second goal is to illustrate the benefits for equity investors resulting from constant proportion investment strategies involving a volatility index like the VSTOXX. For simplicity, the respective analysis assumes that a direct investment in the VSTOXX is possible. This replicates results as found, for example, in the study by Guobuzaite and Martellini (2012).
4.2 Retrieving Base Data
This section shows how to retrieve and store historical daily closing data for the EURO STOXX 50 index and the VSTOXX volatility index. We mainly work with pandas in the following:
4.2.1 EURO STOXX 50 Data
On the website http://stoxx.com of the index provider STOXX Limited, you find text files containing historical ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month, and much more.
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.
Julian F.
Head of Cybersecurity
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.
Addison B.
Field Engineer
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.
Amir M.
Data Platform Tech Lead
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.
