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5 votes

where to find historical ticker data for securities no longer in s&p 500 index?

Hate to disappoint, but you're going to need to pay to get delisted securities. Even basic equity price data of any quality comes with a cost. There are a number of non-commercial vendors that ...
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  • 1,608
4 votes

How are the divisor of SP500 determined?

The divisor is just a random fixed number. The current market cap of the SPX is around 25.64 trillions. The value of the SPX at the moment is 3,185.04 . This means that the divisor is around 25,640,...
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  • 6,810
3 votes
Accepted

Finding ISIN of current/past futures

In general, no one assigns ISINs to CME futures. One some other exchanges, an ISIN is assigned to the entire class of futures with different expiries.
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2 votes
Accepted

Did I correctly calculate all the elements of the Sortino ratio?

Having reviewed the documentation sent by Noob2 and rechecking everything, I came to the following conclusion: ((6044−2002)/2002)^1/20.38=5.57% is absolutely wrong. If one does the calculations for ...
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  • 247
2 votes

Uncorrelation between SP500 and USDJPY?

The very definition of uncorrelated is that the two asset class return is not really related, at least by the correlation measure. It means they can independently go south together An old saying goes,...
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1 vote

Uncorrelation between SP500 and USDJPY?

I think you mistake a correlation of 0 with a correlation of -1.
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1 vote

Uncorrelation between SP500 and USDJPY?

You are confusing several different factors and words. First, I think the word you are looking for is "anti-correlated". And while at time's the inverse relationship holds, it is by no means ...
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  • 133
1 vote

Pricing binary options

I will assume that the interest rate is 0. The price of a binary option is then the same as the risk-neutral probability that the event will occur $$\mathbb{E}^{\mathbb{Q}}\left[\mathbb{1}_{S(T)\geq K}...
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  • 750
1 vote

Daily US stock price data provider with opening Auction prices

I think you should be careful in looking at your data. You say you want the auction print and not the first trade. On the US and many other exchanges with an opening auction, the first trade often ...
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  • 2,750
1 vote

Daily US stock price data provider with opening Auction prices

QuantRocket's Data Library offers two data providers, Interactive Brokers and EDI, that publish primary exchange prices rather than consolidated prices. Primary exchange prices will give you the ...
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1 vote

How are the divisor of SP500 determined?

Wikipedia actually has a decent explanation of the divisor: The Divisor, currently below 8.3 billion, is a number that is adjusted to keep the value of the index consistent despite corporate actions ...
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  • 1,101
1 vote

What is the difference between ^GSPC and ^SPX in yahoo finance?

I remember there was no "^SPX" ticker on yahoo finance two three years ago (not very sure). So I guess "^GSPC" and "SPX" are the same, they just add "^SPX" to follow the most popular naming convention ...
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  • 465
1 vote

How to find/calculate daily S&P500 dividends?

I would use the difference between simple return (price change) and total return gross of dividend withholding tax.
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  • 478

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