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IndexConstruction (version 0.1-1)

Index Construction for Time Series Data

Description

Derivation of indexes for benchmarking purposes. The methodology of the CRyptocurrency IndeX (CRIX) family with flexible number of constituents is implemented. Also functions for market capitalization and volume weighted indexes with fixed number of constituents are available. The methodology behind the functions provided gets introduced in Trimborn and Haerdle (2018) .

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Version

Install

install.packages('IndexConstruction')

Monthly Downloads

173

Version

0.1-1

License

GPL (>= 3)

Maintainer

Simon Trimborn

Last Published

March 29th, 2019

Functions in IndexConstruction (0.1-1)

Index derivation for price and liquidity indices

Updating an existing index with new index values

Pricing data for Cryptocurrencies.

Derivation of the LCRIX index

Volume data for Cryptocurrencies.

Deriving the dates on which the index constituents are going to be reevaluated

Derivation of the CRIX index

Derivation of the EFCRIX index

Derivation of the LECRIX index

Derivation of the ECRIX index

Derivation of the LEFCRIX index

IndexMemberSelection

Number of Index Members Derivation

IndexMembersUpdate

Reevaluation of Index constituents weights

Market capitalization data for Cryptocurrencies.

RelativeWeights

Retrieving the relative weights of the assets in the index