Indexer looks to tap quant fund demand for big data
MSCI’s historical real-time data could be used in backtesting strategies, pricing exotic options
A leading indexing firm has started selling datasets of historical intraday index data, which could be used by quant funds to backtest new trading strategies or by banks to price exotic options on the indexes.
MSCI is selling archives of real-time data for its 10,000-plus indexes – including specialist indexes, such as those weighted to value or momentum, for which equivalent data from futures markets is not available.
After road-testing the idea in meetings with about 30 mainly hedge fund
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