李厚澤 | 李厚泽
Index Associate at STOXX. 7-decimal-place calculation accuracy for vanilla and structured-product indices — decrement, risk-control, leverage, future-rolling, VSTOXX, dividend — across ~15,000 indices backing US$100B+ in linked AUM.
From operating index calculation at scale, my interest runs upstream — to how the indices and the strategies are designed. The proof is an event study across 1,219 1,219 Constituent-change events in the study panel. 02_paper_numbers.md §1 SXXP rebalancing events: the market front-runs STOXX’s rule-based reconstitution list before it is announced.
STOXX · Index Associate • MS Quantitative Finance, WashU Olin — GPA 3.96 / Rank 2 of 89 • B.Econ & Finance, HKU • CFA Level III candidate (2026) • HKSFC Type 4 & 9
My desk calculates the indices that structured products settle on. The daily standard is seven decimal places. When the calculation engine fails, we rebuild the numbers by hand to keep them flowing to market makers — and when licensees have methodology questions, they come to us.
An event study on 1,219 1,219 Constituent-change events in the study panel. 02_paper_numbers.md §1 SXXP rebalancing events: the market front-runs STOXX’s rule-based reconstitution list — a +410 +410 95% CI [+290, +552] Pre-announcement run-up (selection-list). Placebo q=1.00; bootstrap CI excludes 0. 02_paper_numbers.md §2 / caar_q2_five_window.csv bps median abnormal run-up between the selection cutoff and the announcement (sign-test p ≈ 1e-17).
MS Quantitative Finance, WashU Olin — GPA 3.96, Rank 2/89
Beta Gamma Sigma · Charles F. Knight Scholar
B.Econ & Finance, The University of Hong Kong
CFA Level III candidate (Aug 2026)
HKSFC Type 4 & 9
Working language: English
The Index Rebalancing study is out — read it as an interactive essay or grab the white paper. Reach me at frli.jht@gmail.com.