IndexConstruction (version 0.1-1)

IndexMembersUpdate: Reevaluation of Index constituents weights

Description

IndexMembersUpdate derives the new weights for the coming period. The methodology is according to Trimborn and Haerdle (2018). The method derives the new weights over the data period provided. The data input defines the length of the period, hence it can be different from full month.

Usage

IndexMembersUpdate(market, price, vol, weighting, index.const, last.value)

Arguments

market

An xts object with the market capitalization data. The default is NULL, an entry is necessary if weighting is set to "market".

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 NULL, an entry is necessary if weighting is set to "volume".

weighting

The weighting scheme to be applied. "market" refers to weighting by market capitalization, "volume" refers to weighting by trading volume.

index.const

Number of Index constituents. The number can be derived from IndexComp, IndexMemberSelection or be chosen by alternative means.

last.value

The last index value before rederivation.

Value

A list, entry 1 is the ordered names of index members, entry 2 the respective consideration of the index constituents, entry 3 the weights of the index members which gives multiplied with entry 2 the actual weight and entry 4 the new divisor of the index.

Details

IndexMembersUpdate derives the new weights for the coming period. The methodology is according to Trimborn and Haerdle (2018). The method derives the new weights over the data period provided. The data input defines the length of the period, hence it can be different from full month. For more details, please see the methodology section of the paper Trimborn and Haerdle (2018).

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

# NOT RUN {
data(CryptoData)

price = price["2017-01-01::2017-01-31"]
market = market["2017-01-01::2017-01-31"]
vol = vol["2017-01-01::2017-01-31"]
IndexMembersUpdate(market = market, price = price, vol = vol, 
weighting = "market", index.const = 5, last.value = 1000)

# }