Questions tagged [index]

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409 views

generating (or tracking) the DJUBS commodity index

Dow Jones and UBS publish one of the most popular commodity index families, the Dow Jones-UBS Commodity Index and its subindices. They provide a detailed manual describing the composition of the index ...
5
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0answers
159 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
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0answers
69 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 ...
4
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0answers
344 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 ...
3
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0answers
64 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 ...
3
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0answers
191 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 ...
2
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0answers
118 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 ...
2
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0answers
2k 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 ...
2
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0answers
282 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 ...
2
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0answers
45 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 ...
1
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0answers
37 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 ...
1
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0answers
24 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 ...
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0answers
40 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. ...
1
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0answers
49 views

Bloomberg - Index Constituents over a period of time

I basically require a list of the FTSE 350 constituents from 02 Jan 2002 (this is as far back as BB has for member data) to 31/12/2017. I tried to create this dataset using the spreadsheet builder ...
1
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0answers
34 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 ...
1
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0answers
90 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 ...
1
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0answers
52 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 - ...
1
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0answers
50 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 ...
1
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0answers
53 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....
1
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0answers
489 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 $...
1
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0answers
513 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 ...
1
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0answers
48 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)...
1
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1answer
256 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 ...
1
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1answer
75 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 ...
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0answers
16 views

Getting index sectors historical weightings from Bloomberg using python

I want to know how to download an index sectors' historical weightings from Bloomberg. For example, S&P 500 is comprised of Telecom Svc, Materials, Utilities, Energy, Consumer Staples, ...
0
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0answers
18 views

Nasdaq price index, dividend yields and dividend

In a paper that I'm reading it says: We collect monthly observations on the Nasdaq composite price index (without dividends) and the Nasdaq composite dividend yields, and compute the Nasdaq ...
0
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0answers
41 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 ...
0
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0answers
17 views

suggestion for NDX volatility index prior to 2000

NDX index is available since 1984 in Bloomberg. There's VXN index that represents the implied volatility of NDX, which is available since 2001. I need some index or series that represents implied ...
0
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0answers
126 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, ...
-2
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1answer
113 views

Return correlations

Assume an equity fund sample shows returns negatively correlated with the S&P 500. Are we more inclined to say that a) these funds are invested outside the S&P 500, perhaps non-US stocks; b)...