indexComp {IndexConstruction} | R Documentation |
Index derivation for price and liquidity indices
Description
indexComp
derives an Index from the given price and market capitalization or liquidity data. The number of constituents can be fixed or being chosen flexible based on the methodology from Trimborn and Haerdle (2018). This is the main function of the package. The derived index is meant for analysis purposes. For a continuous updating and display of an index on a website, please refer to the remaining functions.
Usage
indexComp(market, price, vol = NULL, weighting = "market", weighting.all = "market",
ic = "AIC", eval.seq = c("sequential", "all.together"),
optimum = c("local", "global"), start.const = 1, steps = 1, fixed.value = NULL,
base.value = 1000, derivation.period = 1, derivation.period.ic = 3, days.line)
Arguments
market |
An xts object with the market capitalization data. The default is |
price |
An xts object with the price data. An entry is always required. |
vol |
An xts object with the trading volume (liquidity) data. The default is |
weighting |
The weighting scheme to be applied. |
weighting.all |
The weighting scheme to be applied to the full market index. |
ic |
Information Criterion to be used for the evaluation of the appropriate index to be used. Possible entries are |
eval.seq |
Indicates how the evaluation of the candidate indices by the ic shall be performed. |
optimum |
Define how to choose the optimal index. Either a |
start.const |
The number of constituents to start constructing the indices with. The default is |
steps |
The step width for the number of constituents to construct the next index from. The default is |
fixed.value |
In case no |
base.value |
The starting value for the index. The default is |
derivation.period |
The number of month after which the weights of the index are reallocated. The default is |
derivation.period.ic |
The number of month after which the composition of the index is derived again, thus the number of constituents is reevaluated. The default is |
days.line |
The days of the month to perform the recalculation on. Can be calculated from switchDates. |
Details
For more details, please see the methodology section of the paper Trimborn and Haerdle (2018).
Value
An object of the class
IndexConstruction with the components
results |
A list containing the results of the model fitting |
index
The optimal indextotalIndex
The index of all constituentstotalIndexRebased
The index of all constituents rebased at the index each time after altering the number of index constituents which is useful for comparisons with the marketassets
A list containing the assets considered for index construction in each periodweights
A list containing the weights assigned to the selected index constituents in each periodweightsRelative
A list containing the relative weights assigned to the selected index constituents in each period
inputs |
A list containing the inputs for model fitting |
marketCap
The provided dataset of the market capitalization of each asset for index constructionprice
The provided dataset of the price series of each asset for index constructiontradingVolume
The provided dataset of the trading volume of each asset for index constructiondaysDerivation
The provided vector of dates on which to rederive the index weights and number of index constituents
weighting |
The selected weighting scheme |
weighting.all |
The selected weighting.all scheme |
ic |
The selected ic |
eval.seq |
The selected eval.seq scheme |
optimum |
The selected optimization scheme |
start.const |
The selected number of starting constituents for the index |
steps |
The selected step size for the selection of the constituents for the index |
derivation.period |
The selected period for rederivation of the weights of the index constituents |
derivation.period.ic |
The selected period for rederivation of the number of index constituents |
References
Trimborn, S. and Haerdle, W.K. (2018). CRIX an Index for cryptocurrencies, Journal of Empirical Finance 49, pp. 107-122. https://doi.org/10.1016/j.jempfin.2018.08.004
Examples
data(CryptoData)
price = price["2014-03-31::2015-01-31"]
market = market["2014-03-31::2015-01-31"]
vol = vol["2014-03-31::2015-01-31"]
days.line = switchDates(price, specificDate = "1")
indexComp(market = market, price = price, vol = vol, weighting = "market",
weighting.all = "market", ic = "AIC", eval.seq = "sequential", optimum = "local",
start.const = 5, steps = 5, days.line = days.line)