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5 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,...
phdstudent's user avatar
  • 8,143
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 ...
Chris's user avatar
  • 1,643
3 votes

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 ...
D Stanley's user avatar
  • 1,331
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.
Dimitri Vulis's user avatar
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 ...
Noir's user avatar
  • 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,...
Preston Lui's user avatar
2 votes

Why do better-performing index funds not get a higher weight?

This is a question better suited for money stack exchange. In any case, QQQ is the fifth largest ETF globally, not too bad for ~ 100 stocks. Also, it seems there are a lot of discussions about what ...
AKdemy's user avatar
  • 9,079
1 vote

Uncorrelation between SP500 and USDJPY?

I think you mistake a correlation of 0 with a correlation of -1.
Trader2B's user avatar
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 ...
fny's user avatar
  • 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}...
mmencke's user avatar
  • 835
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 ...
kurtosis's user avatar
  • 2,880
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 ...
Brian from QuantRocket's user avatar
1 vote

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

My understanding is that ^GSPC is Yahoo Finance's 'proprietary' ticker for the S&P 500 index. I have no idea why Yahoo Finance chose not to or was forbidden from using the common SPX ticker. It's ...
KODE's user avatar
  • 11
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.
user28909's user avatar
  • 488

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