Hi parseval,
thanks (again). What I would like to have though is the number of outstanding shares of the past. This numbers can only be calculated for BF, as BTC-TC keeps an
every-day-backup of their shareholders list.
I want to learn more about the Laspeyres method in real finance, because it seems it's a bit more tricky than using the formula with tick (or hour) data and previous tick (or hour) data. p0 doesn't have to use the last-tick-cap-data which I assumed, but can use an older value as basis. For example the basis value could be the end-of-day capitalization sum
of the day (or month, or..) before.
Here is a detailed paper about the DAX as input, which uses this approach.
Another approach I will test in the next days is to use the sum of market capitalization (BSI in my last post), but with a volume based averaged price. This should prevent that a very small change in price leads to huge changes in the index value.
Some more brainstorming:
- Create an index for each exchange with (almost) all securities?
- Create an index in which more than one exchange is included?
- Only include the n most capitalized companies either for one or more exchanges?