Code and Useful Stuff
This page contains some (hopefully) useful Matlab code that we (my coauthors and I) used in our research. Moreover, here you can find the links to some very useful resources for finance, Matlab and other research-related materials.
Data: Option-Implied Betas: Buss and Vilkov (updated) and Buss, Schoenleber, and Vilkov (new)
- [updated 2017-01-05] Implied betas are based on simple variance swaps computed from surface data from OptionMetrics, first row in each file contains PERMNOs, so that it can easily be matched with CRSP.
The ZIP files contain CSV files with betas w.r.t. S&P500: End of month betas (click it and Save As..) and Betas each day (click it and Save As..)
:historical betas using 30, 91, or 365 (calendar) days without any corrections --
:Buss and Vilkov betas using as input 30, 91, or 365-day historical matrix and option data of the matching duration
:Buss, Schoenleber and Vilkov using as input 30, 91, or 365-day option-implied data on S&P500, S&P500-based sector SPDRs, and all individual stocks in S&P500.
Note: the paper is going to be on SSRN mid-January 2017
Data: Option-Implied Betas: Buss and Vilkov (RFS version)
- [updated 2013-07-09] Data used in the paper 'Measuring Equity Risk with Option-implied Correlations.'
The ZIP for Download (just click it and Save As..) contains 5 files:
:market_betas_1996_2009.mat contains the betas themselves (6 different beta methodologies, time vector dt, and IDs vector permno) in a structure betas.
All betas are aligned to the same timeline in time vector dt.
In the paper we used the betas in fields impl_daily_251d_mfiv, impl_monthly_60m_mfiv for implied and hist_daily_251d, and hist_monthly_60m for historical.
:id_dt.mat contains the time vector dt, and the vectors of IDs (PERMNO from CRSP), the first PERMNO = 999999 is market itself (SP500).
:weights.mat contains the synthetic weights w of stocks in the SP500 index (first column is NaN, because it is SP500 itself).
:dailyret.mat contains daily returns (ret and retx for ex div returns) for SP500 and its components.
:mnthly_ret.mat contains monthly returns retm for SP500 and its components, and the time vector for these returns in dtm.
- [updated 2017-01-05] The same data as above saves in CSV. Lots of files for betas; the tables are arranged in time x cross section, where dates (time points) are located in files with '_dt...', and identifiers are in files with '_permno'. The ZIP for Download (just click it and Save As..) - let me know if there are any questions!
Code: Option-Implied Moments
- [updated 2014-07-01] Model-Free Implied Measures from Options Data (OptionMetrics)
The ZIP contains test options data, zero cd rates, and the Matlab procedures to compute
:MFIV/ MFIS/ MFIK using the results of Bakshi, Kapadia and Madan (2003) and our interpolation routine
:SMFIV using Martin (2012)
:CX (Corridor MFIV) using the results of Andersen and Bondarenko (2007) and our interpolation routine
:VIX/SKEW using the CBOE procedures without interpolation
:SVIX using Martin (2012) without interpolation
:TLM (tail loss measure) using the results of Hamidieh (2011) and our interpolation routine