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What is Analyzing Funny Indices for Algothon 2025 about?

This document describes a problem to analyze stock price data and construct trading strategies based on funny indices. There are 100 stocks grouped into sectors, and 15 indices whose returns can be predicted as functions of stock returns. The tasks are to: 1) Find the number of sectors M from the data; 2) Partition stocks into sectors; 3) Predict as many index returns as possible using a functional form relating them to stock returns in a particular sector; 4) Compute the covariance of predicted index ret

Author

Mahesh Abnave

Language

EN