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0
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2answers
103 views

GARCH model is better for index than stock

We have used a standard GARCH(1,1) model with t distributed innovations for daily data of S&P index and JPM stock. Question: is there any financial or statistical reason why the GARCH model ...
2
votes
2answers
236 views

How can index futures trade 24/7 when the index doesn't change?

I have read that the E-Mini S&P 500 Futures trade 24/7, how is that possible? I mean the underlying stocks which form the index are traded from 9:30am-4pm - so outside of these hours the S&P ...
1
vote
1answer
21 views

Difference between CRSP equal weighted and composite index

I am a bit confused about the overall CRSP total market return index and the equal weighted index. I know that the value weighted index places a weight on each firm by their respective market values ...
0
votes
1answer
37 views

Timing of S&P 500 Component Changes - Pre or Post Market?

When S&P 500 has a component change is the change made before market open or after the close. For example on March 3rd announement by S&P that UDR replacing GMCR after close of trading on ...
4
votes
1answer
416 views

comparing total returns from various data vendors

I need to use various data sources to cover all of my data, and I am concerned by the discrepancies in total returns. Data vendors were helpful, but their simple documentation did not help resolve why ...
4
votes
1answer
616 views

Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
0
votes
0answers
67 views

Applying Black-Scholes to valuing index options

I am currently attempting to use the Black-Scholes model to value index options. My issue is; what should I use as the price of the underlying? Say I want to value a call option on the German DAX with ...
0
votes
0answers
9 views

Term data for Dow Jones Index in CSV [duplicate]

I want long term data for Dow Jones to be able to download in CSV. Daily measurements are fine. I know that on Google and Yahoo you can download for individual stocks, but on indexes they do not let ...
7
votes
1answer
174 views

Why can CDS indices be used as a bond market index?

I don't understand why the iTraxx indices family, which are credit default swap indices, are in practice often used to gauge the bond market. How are CDS prices related to bonds prices? And what other ...
2
votes
0answers
95 views

Equity Index Announcement Data

Does anyone know of a data source that provides announcements of future index events (adds/drops/re-balances), specifically for equity indexes? I know these are mostly available somewhere on each ...
1
vote
1answer
94 views

Historical book value data for S&P 500

In Graham's Intelligent Investor, he calculates a metric Earning/book value. I would like to calculate the same ratio in modern times (1960-2015) but am having trouble finding this data. I have found ...
6
votes
2answers
5k views

Difference between S&P 500 index and S&P 500 Total Return index?

There's the standard S&P 500 index (SPX) and the rarer used S&P 500 Total Return index (SPTR). If you compare graphs, you'll find that the latter grows faster. Supposedly, SPTR assumes ...
3
votes
3answers
376 views

Sources of index data (MSCI, FTSE, S&P etc.)?

Who are the major suppliers of index data that cover multiple index providers, e.g. MSCI, FTSE, S&P etc? There are a huge number of people sourcing e.g. equity data, but index data is much harder ...
5
votes
2answers
597 views

Why the difference between SPY and ^GSPC?

Look at SPY vs ^GSPC -- the difference seems bigger than can be explained by the ETF fees. Is it only because of SPY re-invests dividends quarterly or something else? Since ...
2
votes
1answer
56 views

Historical index components (FIGIs) from bloomberg?

In order to run strategy simulations, I am trying to build a database of historical equity data using Bloomberg. I can pull the ticker symbols corresponding to the components of an index at any point ...
7
votes
1answer
3k views

SP500 sector weights - how do they change?

The weights of the nine S&P equity sector indexes vary over time. One can find measures of them in a number of different formats: S&P 500 Sector SPDRs - historical sector weights Here's ...
2
votes
1answer
71 views

Index and alpha strategies research analyst

Just found some job offer: Index and alpha strategies research analyst However it seems that the offer is already closed. The thing is I would like to know what are these alpha/index strategies. Can ...
1
vote
1answer
37 views

Is there a de-facto standard identifier scheme for indexes?

All the big indexes have well known fairly standard ticker like names, e.g. SPX for the S&P 500. However there are huge numbers of lesser known indexes (and a huge number of variants on each). ...
3
votes
0answers
49 views

Is there any index calculation methodology that is suitable when constituents change frequently?

Trying to create a custom stock sector index, however adding/dropping of the constituents will be frequent. Which kind of index calculation methodology (e.g. Price Weighted, Equal Weighted, Cap ...
1
vote
1answer
31 views

Adjusting index betas for spread DV01

If you have an index and have measured its beta with respect to the overall market, how would you go about adjusting it against spread dv01 and why would you want this number?
1
vote
1answer
62 views

Calculating unweighted performance of stocks within a period

The well known calculation of unweighted index of stocks is just calculating an arithmetic average. And then, to calculate the performance of the index, I calculate the %change of the unweighted ...
1
vote
3answers
111 views

When valuing a vanilla option on an index, should we take dividend into account?

When valuing a vanilla option on an index (eg FTSE 100), should we take index dividend yield into account? $$ c=Se^{-q\tau}N\left(d_1\right)-Ke^{-r\tau}N\left(d_2\right) $$ $$ ...
0
votes
0answers
35 views

Where can I find historical P/E values of Russell 2000 Value and Russell 2000 Growth index?

I have no problems finding the current values, but historical (ie yearly) is harder and even my commercial databases have failed. Only need the last ~15 years or so, and yearly is enough. Do any one ...
4
votes
1answer
55 views

Annualised Sharpe Ratio for Index vs Index Benchmarking

I am currently writing a paper about the performance characteristics of alternative energy equity indexes and am therefore comparing them to their benchmark indexes (msci world, etc). To calculate the ...
1
vote
0answers
37 views

Major categories of tradable securities and the ETF's that track them?

I'm just starting to learn about quantitative finance and I'm overwhelmed by the amount of tradable securities out there. I'm seeing all these things like VXX, TLT, TMF, SPY, SPXL, HYG, VWEHX and so ...
2
votes
0answers
57 views

How to compute/find the volatility of an index like the S&P 500 to be used to control risk exposure? [closed]

I've asked two related questions. First this one on the money stack exchange and this one on the math stack exchange. But have not yet found a complete answer. Given an index such as the S&P ...
1
vote
3answers
222 views

Get market cap by ticker on 1.7.2013?

I have a list of all S&P500 tickers, e.g. AAPL, GOOG, JPM. I would like to get their market cap on 1.7.2013 (I don't have Bloomberg, only free internet). Is there an excel addin or other ...
4
votes
5answers
467 views

CAC40 components historical data

I'm looking for historical data of the CAC40 components. I looked at these previously asked questions: What data sources are available online? Finding historical data for indices as well as Yahoo ...
1
vote
2answers
409 views

How can I create a public viewable stock market index?

I have 3,000 tickers that I would like to turn into a weighted index, viewable by the general public by going to Yahoo and typing in ^PSNDX (for example) or go to E-Trade and enter something similar. ...
1
vote
3answers
242 views

Building custom indices; getting data from web; stats analysis; Python or R?

I would like to build a couple of custom indices. I would like to be able to enter ticker(s) into an input and have ohlc, volume, qualitative ...data downloaded from yahoofinance, google finance, ...
2
votes
0answers
765 views

Downloading high-frequency data: S&P 500

can I ask you where am I doing something wrong when downloading high-frequency (5-min) S&P 500 data ("USA500.IDX") from https://www.dukascopy.com/swiss/english/marketwatch/historical/ and when ...
1
vote
1answer
103 views

What does NPV ASSENTED after stock name mean?

For a project, I have to quantitatively implement a strategy for value investing in EURO STOXX 50. I pulled the data from Datastream. When I was checking some data plots for dividend yields and total ...
0
votes
2answers
146 views

Comparing Portfolio Volatility with Index Volatility seems a wrong method?

thanks for looking into this question. I am comparing an investment strategy against the S&P 500 for a financial article I'm writing. I compute volatility of the Portfolio in this way, as the ...
1
vote
3answers
110 views

Is there a broad currency index just like there is an equity market index?

I would like to assess the performance of currency traders so I was wondering if there is a broad currency index that can be used as a benchmark to assess the performance of these traders. The index ...
1
vote
1answer
244 views

Total return index for interest rates (EURIBOR 3M)

I would like to calculate a daily total return index for the EURIBOR 3M. • Should I freeze at the beginning of each qurter die rate? (With this methology the developing of the index depends on the ...
1
vote
1answer
82 views

Index for Hedge fund, Private Equity, Venture Capital

We have index for stock market, like S&P500, Nikkei 225, etc. I wonder if we have any index for hedge funds, private equity or venture capital?
2
votes
1answer
1k views

How to get real-time data for Fama-French model?

For Fama-French model we need SMB (small[market cap] minus big) and HML (high[book-to-market-ratio] minis low). I want to ...
0
votes
1answer
122 views

Index creation from multiple time-series and variable weights

I am trying to compose one index out of several (three) indices with variable weights, 50%, 25% and 25%. After normalizing and calculating the log returns, what would be the best way to create the ...
1
vote
0answers
27 views

Index tracker and inflation

I'm trying to get my head around how inflation really affects index trackers. I've been looking at this question, but somehow misses the point I want (How To Account For Inflation Over Historical ...
0
votes
1answer
130 views

Finding historical data for indices [duplicate]

Where can I find historical data for option prices on a given index ? Ideally I'd like to find for a period of several months 1) historical prices on options on a given index 2) historical prices on ...
2
votes
0answers
168 views

Johansen-Ledoit-Sornette Model

im trying to predict crash time by using lppl model(JLS). My codes can run, but the error is to high....I try with some other initial values, but still can't reduce the error.....How i can reduce ...
1
vote
1answer
103 views

Need weighted global stock index data (components / weights)

To implement a portfolio generator, I require a set of suitable stocks. Ideally it would use the components of the MSCI World Index and use the index weights for the probability of picking a stock ...
1
vote
0answers
93 views

Calculating the Hedge Ratio

Suppose we have an index whose value is calculated by a weighted geometric mean. Now we want to recreate the index using its underlying components. How would we go about calculating the hedge ratios ...
1
vote
1answer
37 views

FTSE AIM Components From 2000, 2001, … 2013

From where can I get a list of historical component lists for the FTSE AIM Index as well as other indices? I see that there is a page for data sources here, but that page does not contain what I am ...
2
votes
0answers
174 views

Calculating index arbitrage

I have a days-worth of level 2 market data. I am calculating S&P500 index arbitrage. I have a few questions about the calculation: 1) Should I be summing all the bids and asks from the stocks ...
1
vote
1answer
639 views

Components of an index in a specific date

Objective: Get a list of all the companies that were ever part of an index (e.g.: FTSE100) in a given period of time (scale: years/decades). Method I have in mind: 1) Create an empty list k. 2) Get ...
0
votes
2answers
99 views

Calculate price of index from underlyings (weightings included)?

I have a day's worth of LSE data (FTSE100 companies) and I also have their weightings for the FTSE100. Ignoring the net present value of money, how do I calculate the current value of the FTSE? I ...
4
votes
0answers
99 views

Dividend Index Futures

My question is dealing with the proportionality between Dividend Index Futures prices and Index prices. Indeed, we in the past we used to do a simple regression between these variables and use the ...
4
votes
1answer
229 views

How to compute the volume of an index from the volume of its constituents?

I'm trying to understand how to compute the daily volumes of the Dow Jones Industrial Average but I haven't found the proper formula yet. I thought it was the sum of the price*volume of each ...
1
vote
1answer
97 views

How do I take an unbiased, sector neutral sample from a stock index?

I am looking to take a cross sector subset of a larger stock index universe. What steps to I take to assure that sector representation is as equal as possible to help smooth out my variance(while ...