Index Construction for Time Series Data
Pricing data for Cryptocurrencies.
Retrieving the relative weights of the assets in the index
Index derivation for price and liquidity indices
Number of Index Members Derivation
Reevaluation of Index constituents weights
Updating an existing index with new index values
Market capitalization data for Cryptocurrencies.
Deriving the dates on which the index constituents are going to be ree...
Volume data for Cryptocurrencies.
Derivation of indexes for benchmarking purposes. A methodology with flexible number of constituents is implemented. Also functions for market capitalization and volume weighted indexes with fixed number of constituents are available. The main function of the package, indexComp(), provides the derived index, suitable for analysis purposes. The functions indexUpdate(), indexMemberSelection() and indexMembersUpdate() are components of indexComp() and enable one to construct and continuously update an index, e.g. for display on a website. The methodology behind the functions provided gets introduced in Trimborn and Haerdle (2018) <doi:10.1016/j.jempfin.2018.08.004>.