Questions tagged [indexes]
The indexes tag has no usage guidance.
27
questions
0
votes
1
answer
40
views
Calculate Federal Reserve Dollar Indexes
I'm attempting to validate the formula used to calculate the Federal Reserve Dollar Indexes, as published on January 15, 2019, in this document: https://www.federalreserve.gov/econres/notes/feds-notes/...
- 129
0
votes
0
answers
28
views
VIX intraday Data (minute by minute) [duplicate]
I'm looking for an open source that provides intraday data (minute by minute). I wasn't able to find one so far. Any suggestions?
Thank you.
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&...
0
votes
2
answers
95
views
Mini Nikkei Futures Contract - Tick and Point Value
for the Mini Nikkei Futures Contract traded at the Osaka Japanese Exchange, it states that the Tick Value is 500 Yen per Tick. But the actual contract is quoted in 5 Point Increments. Is the correct ...
- 113
0
votes
2
answers
105
views
Bloomberg Crude Oil Indices
I am trying to gather a time series data for Crude Oil Future prices (both Brent and WTI) to work on a project. I see that the BCOMCO (Brent) and BCOMCL (WTI) indices are constructed from the ...
0
votes
0
answers
70
views
Index to track my portfolio of all ETFs
I have the following portfolio of all ETFs:
I am attempting to apply Black Litterman and on the step of calculating market weights. I have the following questions:
How can I define what index to use ...
- 1
0
votes
0
answers
44
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
...
0
votes
3
answers
105
views
Suppose I know people in S&P and thus know which stock will be added into the index. Is trading on that classified as insider trading? [closed]
It strikes me that the legal definition of insider trading is very difficult from what we commonly think about in finance/economics.
- 1,150
3
votes
1
answer
463
views
how to construct a diversified portfolio based on correlation
I have a porfolio of indexes and I built up a python model based on spearman correlation (I used a spearman and not a pearson because, after running some test on outliers and normality ...
- 326
0
votes
2
answers
205
views
Annualised returns and volatility for 3 month data
I have a portofolio with 30 indexes and I want to calculate the annulised returns and volatility because I want to compare it with another portofolio with different number of indexes (but same time ...
- 326
0
votes
0
answers
848
views
Download historical MSCI/GICS Sector Index data
Similar to Where do I get historic performance data of the MSCI World Growth/Value index, I'm looking for historical data for the MSCI Sector Indexes (Energy, Material, Industrials, Financials and so ...
- 101
0
votes
0
answers
176
views
Portfolio and Risk Management: Total Return Index vs Price Index
For portfolio construction and risk management purposes, when one should use Total Return based Index instead of Price Index?
I am looking for pros and cons of using either Total Return and/or Price ...
- 1,830
1
vote
2
answers
175
views
Why does the coffee price tracking index Dow Jones-UBS Coffee differ so much from the actual coffee price?
I am looking at ETFs that track coffee price indices and I have noticed that there is quite big discrepancy between the ETFs underlying coffee indices (Dow Jones-UBS Coffee is an example) and the ...
- 113
1
vote
1
answer
180
views
EONIA capitalisé jour tr eur: can't find index data! Do you know what kind of index is?
To get EONIA capitalisé jour tr eur index returns (monthly returns from 01/2007 until the most recent) is challenging. First i googled the index name searching for the ISIN or the index provider ...
- 11
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 ...
- 1
2
votes
2
answers
183
views
where to download current composition of popular indexes?
What are reliable sources to download plain-text files listing current composition of various popular indexes such as S&P 500 (SPX) or Dow Jones Industrials (DJI) or Nasdaq 100 (NDX) ?
At a ...
- 131
1
vote
1
answer
85
views
Are Indices Regulated
Suppose that a bank (or any regulated body) wants to sell and ETF, replicating some index. Does that replicator have to adhere to the Basel accords?
Similarly, if a bank (or any regulated body) ...
- 353
3
votes
2
answers
211
views
Properties of an iTraxx index
I am working on maintaining the market data of iTraxx indexes in our systems and I have the following questions:
What events prompt change in series and version of an iTraxx index ? Is it after one ...
- 33
0
votes
1
answer
56
views
Large Differences in Open Interest between Similar Strikes
Consider the image attached, showing a part of the options chain for the NDX expiring July 20. What can possible explain such large differences in Open Interest across similar strikes, e.g. 818 at 7,...
13
votes
4
answers
2k
views
Why are stock index futures not used to forecast how much the stock market will rise, given that interest rates futures are used for this purpose?
In news articles, the reader often read interest rates forecasts calculated based on interest rate futures.
An example is here;
How did traders calculate that the expected number of rate hikes is 4 ...
- 1,017
2
votes
1
answer
196
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....
- 121
2
votes
1
answer
451
views
Real Estate Index in Python
I am trying to find a way to create Real Estate Index using Python 3.6 for my high school project.
I have a csv file with the following columns:
Date of Sale
Amount
Type (Commercial/Residential/...
- 21
0
votes
2
answers
398
views
How to trade the FTSE index long and short
I built a trading model to predict the FTSE index. However, apparently one cannot trade the FTSE directly, but only different underlying products.
My model trains on the FTSE index, however tradeable ...
- 189
0
votes
0
answers
66
views
where to find real time data non-delayed of N225 and AXJO
I found marketindex.com real time data for the Austrial market index AXJO.
Is there a similar website for the Nikkei Index N225? On all websites it is always 20 minutes delayed, such as yahoo finance....
- 189
0
votes
2
answers
547
views
How to download historical composition of a Stock Index with monthly prices
for a Quantitative project in Asset Management, I need to obtain for each year -on a long period (20 years) - the different historical constituents and their prices on a monthly basis for a given ...
0
votes
2
answers
693
views
What is the best benchmark index for computing the beta of a multinational company?
I'm running a valuation of a multinational company listed on the AEX (Amsterdam Eurononext). The company has operations in Europe (70%), US (25%) and other (5%). I have historic stock data until from ...
- 226
6
votes
1
answer
3k
views
Reliability of CDS indices?
Looking at a time series two North American CDX indexes, one high yield and one investment grade, shows somewhat unexpected trends. CDX.NA.IG seems to be much higher and more volatile than CDX.NA.HY,...
- 1,074