Questions tagged [index]

An index is a reference portfolio that can be used, either to benchmark the performance of an investment strategy, either to create products (Futures, Structured Products).

51 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
5 votes
0 answers
205 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 ...
aajajim's user avatar
  • 663
4 votes
0 answers
84 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 ...
roy104's user avatar
  • 53
4 votes
0 answers
451 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 ...
user997112's user avatar
3 votes
0 answers
147 views

Intuitive description of the Spillover Index by Diebold and Yilmaz

I am struggling to grasp the steps outlined in the 2009 paper by Diebold & Yilmaz, which introduces the framework for a spillover index. The final expression for a spillover index for a two ...
Wrothschild's user avatar
3 votes
0 answers
258 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 ...
meh's user avatar
  • 759
2 votes
0 answers
447 views

Index CDS Option (Spread Quoted) - Black's Formula

I have looked at the question and answers here and I have read Chapter 11 of Dominic O'Kane's book Modelling Single-name and Multi-name Credit Derivatives. The book is very clear and has some in-depth ...
Francis's user avatar
  • 310
2 votes
0 answers
632 views

Mechanics of index CDS options

I am looking at some documents regarding pricing approaches for index CDS options but none of them give much detail on the mechanics of trading the product. I have looked at the CDX UNTRANCHED ...
Francis's user avatar
  • 310
2 votes
1 answer
210 views

Seeking data source for index constituents and changes

I need to find a definitive list of US and UK index constituents. I'm currently monitoring S&P100, S&P500, DJIA, FTSE100, FTSE350 etc. and curating the list manually, which is causing problems....
Simon's user avatar
  • 121
2 votes
0 answers
855 views

Dividend yield for an index

Let's say we want to price an option and so need a dividend yield to plug into Black-Scholes. We can compute an implied dividend yield for a stock using: $$F=S_0 e^{(r-d)T}$$ and by isolating for $...
trade_the_basis's user avatar
2 votes
0 answers
129 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 ...
goric's user avatar
  • 468
2 votes
0 answers
3k 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 ...
Andrew's user avatar
  • 21
2 votes
0 answers
365 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 ...
user3610659's user avatar
2 votes
0 answers
54 views

How to make a historical index of a group of materials in which the set of materials changes every month?

The question may sound simple however for the moment it is a brainteaser to get it right, let me explain: the exercise is to be done on +/- 200 groups of materials (matgroups) one matgroup can ...
Kurt Rosseel's user avatar
1 vote
0 answers
74 views

Correlation between a stock and the index without the stock

The weight of stock i in index m is w. The returns are, respectively, r(i) and r(m). I know the volatility s(i) of i, the volatility s(m) of m and the correlation rho(i, m) between i and m. The index ...
makpalan's user avatar
1 vote
0 answers
71 views

Arbitrage between gamma and delta on smaller timescale in options selling

I have observed that sometimes (mostly for OTM options) near expiration, an increase in option price cannot be fully explained by delta and theta(given volatility is constant). The gamma spiked the ...
Dsp guy sam's user avatar
1 vote
0 answers
84 views

How VIX ETF Rolls to follow the SP 500 VIX Index

I was reading the Methodology that S&P uses in order to construct VIX index VIX S&P Methodology If I understood it right, the VIX Short-Term Futures Index works as follows: Notice that both ...
david.t_92's user avatar
1 vote
0 answers
34 views

Where to find Entries into an Index on CRSP (WRDS)

I am trying to find index entry events (not delisting events) on CRSP (i.e., when a specific stock with a PERMNO/CUSIP enters the S&P500), but despite trawling through the documentation I am ...
carlogambino's user avatar
1 vote
0 answers
61 views

Pricing of a tracker certificate on basket of index futures

i'm new to Quant Stack Exchange but i already saw that the quality of the answers is outstanding, however, i have a question for which i haven't found an answer yet: I'm looking for a pricing model/ ...
T123's user avatar
  • 543
1 vote
0 answers
255 views

Replicate an fixed income index in python

I am trying to replicate an fixed income index in python through linear programming. Data for all bonds in the index are available as well as index values. I intend to first create a free portfolio ...
shaida faiqi's user avatar
1 vote
0 answers
183 views

How to build Fama-French model factors SMB and HML to compare sustainable index to conventional benchmark?

My goal is to analyze and compare the performance between socially responsible indices and conventional ones. I am comparing for each region (Europe, UK, World, US) a sustainable index to a ...
GBC40's user avatar
  • 11
1 vote
0 answers
55 views

How does one explain the negative returns around the event of stock inclusion in DAX indices?

Greetings there friends, I am doing a small research on the effects of the event of inclusion and exclusion of a stock from DAX indices (german indices), to cut the story short, i have downloaded data ...
AugusteDupin's user avatar
1 vote
0 answers
77 views

Futures Carry for Index Spread Trade

This question is about a leveraged trade involving index futures. Let's use an example of buying two contracts YM futures and selling three contracts RTY futures. CME will give the trade a margin ...
NEO ULTRA's user avatar
1 vote
0 answers
1k views

How to normalize stock exchange indexes

I am doing an academic research in behavioral finance and I need to calculate my abnormal return based on the normalized returns of the stock exchange index being the S&P 500. In other words, I ...
Alessio_110's user avatar
1 vote
0 answers
143 views

Does EFP (Exchange Futures for Physical) Involves Cash Exchange?

I am new to the concept of Exchange Futures for Physical (EFP). According to some sources (link), An Exchange for Physical (EFP) is a transaction involving the simultaneous exchange between two ...
yalex314's user avatar
1 vote
0 answers
55 views

Determinant of index implied vol

I find that unlike individual stocks, whose option trading and implied vol can be traced to the underlying liquidity and short-ability, the determinant of implied vol on index ETFs is quite confusing. ...
user201706's user avatar
1 vote
0 answers
696 views

CRSP VW index price data (not return data) - where?

I am trying to find index price levels for the CRSP value weighted index (excl. distributions), not pre-calculated returns. I have access to WRDS, where I can download the returns on the index and ...
Mike Haye's user avatar
  • 193
1 vote
1 answer
735 views

Replicating the EIOPA equity index for the symmetric adjustment of the equity capital charge in Solvency 2

My question is rather specific but I'm wondering if someone might be able to help. In the Solvency 2 framework, the equity capital charge requires to compute a symmetric adjustment which is itself ...
Pierre M's user avatar
1 vote
0 answers
62 views

reconstructing Russell 2000 returns

I have a historical list of index components, so I'm just adding up market caps of those to get a proxy for the index. However, when I check it against Bloomberg, my returns are consistently higher - ...
LazyCat's user avatar
  • 1,551
1 vote
0 answers
62 views

Trouble calculating the Dow Jones Industrial Average

I can successfully calculate the Dow Jones closing price by taking the sum of closing prices of the 30 component companies. However, using this same method, I'm unable to calculate the correct opening ...
Rez99's user avatar
  • 111
1 vote
0 answers
810 views

Commodity index member weights (historical) for S&P GSCI and BCOM

Does anyone know a datasource for retrieving the historical index member weights for the two major commodity indices S&P GSCI and Bloomberg Commodity Index? My institution provides access to ...
burki's user avatar
  • 111
1 vote
0 answers
58 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 Data)...
zom-pro's user avatar
  • 111
1 vote
1 answer
451 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 ...
Finance_Newbie's user avatar
1 vote
1 answer
119 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 ...
user847663's user avatar
0 votes
0 answers
43 views

Predict a company business classification

I am trying to predict whether companies belong to a universe considered by an index provider for a particular thematic index using natural language processing techniques. In this particular example, ...
wissam124's user avatar
0 votes
0 answers
27 views

Replicating Index: Timeframes and Standards for the Quality Factor Construction

I'm presently working on replicating a specific index. The methodology provided by the index provider offers a detailed definition of the Quality Factor. However, there seems to be an ambiguity ...
johndonym's user avatar
0 votes
0 answers
90 views

Index Tracking Problem

I have set up a mean variance optimization problem, $$min:{W}^{\prime}{\Sigma_{\varepsilon}{W}}$$ $$s.t:{W}^{\prime}{\alpha}=R_B\;,\;\;W^{\prime}l={1},\;\;W'\beta=0,\;\;W'Z=\beta_p$$ where, $W$ is an (...
Market Maker's user avatar
0 votes
0 answers
24 views

Global Country Index for Insurance

I am trying to create a global country index for insurance. So this would be insurance by country. Anybody who is an expert in econometrics can give me some guidance on how to do this? How would I go ...
Ibrahim's user avatar
0 votes
0 answers
37 views

Large price adjustment for capitalization-weighted index

Assume we are calculating a value-weighted index of a set of stocks that have more or less the same capitalization. However, one of the stocks has substantially larger price than others (although ...
Kreol's user avatar
  • 117
0 votes
2 answers
353 views

You are long a hedged ATM SPX Call and the market moves down. Do you gain or lose in volatility terms?

The shape of the volatility curve in index options trading typically shows that the 'just' OTM Calls (ITM Puts) options have the lowest implied volatility. If you are long an ATM Call and the market ...
fajitas_vol_trader's user avatar
0 votes
0 answers
36 views

Relationship between the major Indexes and the SPDR Sectors

Here is what I know (and correct me if I summarize incorrectly): There are 4+ main Indexes -- S&P 500, Russell 2000, NASDAQ, and DOW Jones (among others?) There are 11 sectors called "SPDRs&...
codenamekale's user avatar
0 votes
0 answers
41 views

Unitise an options portfolio

Suppose I have a portfolio of European index options (long call, short put) and risk free assets (buy bank bills) to create a synthetic long index position. I wish to unitise this portfolio to ...
IMCO's user avatar
  • 1
0 votes
0 answers
56 views

Different methodologies of building indices

Say have a basket of coupon bonds $B_i$ with $i \in \{1, ..., n\}$. Those bonds have different characteristics one from another. For example they differ in maturity, face value and coupon outstanding. ...
Yoda And Friends's user avatar
0 votes
0 answers
19 views

Determining relative volatility without referring to an index or another security?

Say I am looking at the S&P 500, what is a quantitative way to determine whether the index is currently volatile or not? For example, if volatility > x, it is highly volatile. If volatility <...
blahahaaahahaa's user avatar
0 votes
0 answers
51 views

Calculating currency indexes weights?

I was looking at this formulas: USD_INDEX= 50.14348112 × EURUSD^-0.576 × USDJPY^0.136 × GBPUSD^-0.119 × USDCAD^0.091 × USDSEK^0.042 × USDCHF^0.036 and ...
Pedro Pablo Severin Honorato's user avatar
0 votes
0 answers
46 views

What are the components of VXN?

What are the exact components of VXN -- the volatility index for NASDAQ-100? The CBOE page links to the document for VIX, which clarifies the exact set of front-month near-the-money SPX options used ...
Argyll's user avatar
  • 109
0 votes
1 answer
565 views

How to download full daily historical data of MSCI AC Asia Index

I'm trying to download the daily historical data of the MSCI AC Asia Index. I've been testing different combinations of the following url: https://www.msci.com/eqb/esg/performance/110.0.all.html using ...
monicam's user avatar
0 votes
0 answers
44 views

Calculation of CPI

My class was canceled due to the coronavirus and I am supposed to solve the following problem: Assume that the consumer consumes only two goods, and his utility function is $u=x_{1}x_{2}$. Last year ...
Peter's user avatar
  • 1
0 votes
0 answers
97 views

Day OPEN = prior day CLOSE in S&P 500 index historical data

There is a phenomenon in the historical data of the S&P 500 index, of extended periods with repeated occurrences of 'today's open = yesterday's close'. It could have made sense had it been the ...
Arigato's user avatar
0 votes
0 answers
234 views

PCA and constructing an index

Given a set of correlated securities and their corresponding closing prices, I am looking for a way to construct an index of these securities. When applying PCA to obtain the principal components, ...
WJA's user avatar
  • 217
-1 votes
1 answer
177 views

Model-Free Implied Volatility: Data of Expired Options and Bond Price

I am attempting to calculate Model-Free Implied Volatility for several equity indices (S&P500, NASDAQ100, CAC40, FTSE100, DJIA, EUROSTOXX50, NIKKEI225, NIFTY50). I wish to get historical data of ...
Vishal Nagwani's user avatar