Using python: coding

Stock Market Data Analysis: Using the scripts that we have been working on in class, download end of day closing prices for the NASDAQ 100 index whose present members may be found here: https://en.wikipedia.org/wiki/NASDAQ-100

1. Which stock has the greatest single day positive percentage return from 1/1/2016 to 1/1/2018?

2. Which stock has the greatest cumulative return from 1/1/2010 to 1/1/2018?

3. Compute the pairwise correlations between all stocks in this index between 1/1/2012 to 1/1/2015. Find the three pairs of stocks that have the greatest correlation over this period.

Risk and Performance Statistics: Using the NASDAQ 100 index price data you downloaded in the previous problem, answer the following questions: 1. Define the following terms, volatility, value-at-risk, beta of a stock to its index, and provide explanations of why they are important for assessing the risk of an equity portfolio.

2. Which stock had the greatest volatility over the past year (3/6/17 to 3/6/18) and how many times greater is this than the S&P 500 volatility?

3. Which stocks have the greatest and least beta values in the NASDAQ 100 (use the NASDAQ 100 as the reference index)?

4. Which stock has the greatest Sharpe ratio?

5. Estimate the 95% and 99% value at risk using the return distribution of each stock in the index and plot histograms of the corresponding values.

Hedging and Options:

1. Describe the main ideas behind hedging and why it is important for financial risk management.

2. Consider a portfolio consisting of 100 shares of IBM, 20 shares of AMZN, and 50 shares of MSFT. How many shares of the S&P 500 ETF SPY would one need to short in order to construct the minimum variance hedge for this portfolio over the 1/1/2010 to 1/1/2012 timeframe? Estimate the volatility of the original and hedged portfolio.

3. Describe the input parameters and assumptions behind the Black Scholes model. Which of these assumptions are least likely to hold in reality?