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teamaust
Posted : Wednesday, January 09, 2013 7:00:00 PM
Gold Customer Gold Customer

Joined: 6/12/2005
Posts: 39

I understand how indexes are calculated (been trading for several years) but I recently found myself asking a question that I can't find an answer to.

Are the highs and lows of an index (as opposed to the opens and closes) calculated off the highs and lows of its components? If so, it should be noted that the highs and lows of the components might have occurred at very different times of the day.

Alternatively the highs and lows of the index might be time based, i.e. the highest high for an index  might have been at X o'clock corresponding to some specific combination of real time component prices (weighted or otherwise). I suspect this is the answer - it would be a slightly easier calculation in constructing indexes in real time during live trading.

It might sound semantic but if you think about it the answer will have implications for spotting market turning points using indices.

Any ideas?

 

diceman
Posted : Wednesday, January 09, 2013 8:44:38 PM
Gold Customer Gold Customer

Joined: 1/28/2005
Posts: 5,591

Not sure what youre asking?

The Index is calculated off the live prices of its components during the trading day.

At the end of the day there will have been an index high and an index low.

Thats the Index high and low for the day.

Thanks

jlniel
Posted : Friday, January 25, 2013 1:56:11 PM
Gold Customer Gold Customer

Joined: 12/11/2009
Posts: 1

Does anyone know where to find the theorerical prices of the DJIA? My understanding is the theoretical price is calculated from the actual daily highs and lows of each component stock of the DJIA.  This gives a daily higher high and lower low.

Thanks

 

StockGuy
Posted : Friday, January 25, 2013 3:08:22 PM

Administration

Joined: 9/30/2004
Posts: 7,685

Not sure where to find the data, but you're right, the theoretical prices are calculated from the highs and lows of the components.

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