Dynamic Market Analytics: Insightful Analysis of Earnings Uncertainty and Trading Activity on the Moscow Stock Exchange

Dynamic Market Analytics is a comprehensive project aimed at dissecting market dynamics, with a particular focus on deducing earnings uncertainty through option-implied volatility analysis and scrutinizing trading activities on the Moscow stock exchange. Our approach involves rigorous data manipulation and analysis to extract valuable insights from financial markets.

• Ÿ In-Depth Data Analysis and Interpretation: We leverage option-implied volatility data from IvyDB US to estimate earnings uncertainty. This involves a detailed focus on options across different maturities and moneyness levels, allowing for a nuanced understanding of market sentiment and expectations.
• Ÿ Robust Data Collection Framework: The project encompasses the collection and analysis of an extensive dataset, including bid/ask prices, trading volumes, and other pertinent option characteristics. This dataset covers 1929 companies over a 20-year period, providing a comprehensive view of market trends and dynamics.
• Ÿ Strategic Summary and Reporting: We produce detailed reports and summaries that highlight the relative importance and average rankings of Moscow-based firms in derivative market trading. These reports offer valuable insights for market participants and analysts, aiding in strategic decision-making.