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

accounting-numbers
MSCI is selling archives of intraday index data with up to 3 billion data points a year

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

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: