IndexConstruction (version 0.1-1)

LECRIX: Derivation of the LECRIX index

Description

LECRIX is a wrapper function for IndexComp which derives the index according the methodology for LECRIX as described in Trimborn and Haerdle (2018) and visualized on http://thecrix.de/.

Usage

LECRIX(market, price, vol = NULL, days.line)

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 iw weighting is set to "volume".

days.line

The days of the month to perform the recalculation on. Can be calculated from SwitchDates.

Value

A list, entry 1 is the optimal index, entry 2 the index of all constituents, entry 3 the index of all constituents rebased at the index (entry 1) each time after altering the number of index constituents which is useful for comparisons with the market, entry 4 the number of assets available for analysis in each period, entry 5 the absolute weight given to each assets price in the respective periods

Details

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["2014-03-31::2014-10-31"]
market = market["2014-03-31::2014-10-31"]
vol = vol["2014-03-31::2014-10-31"]
days.line = SwitchDates(price, specificDate = "1")

LECRIX(market = market, price = price, vol = vol, days.line = days.line)
# }