where <\/p>\n
volume – average Report Summary
\nThe volume-average attribute is calculated from volume-spot and the instrumentVolumeInfoDecay parameter using an adjusted exponential moving average. First, if the spot data exceeds the existing average by a factor of more than volumeAveragingCap then the calculation is performed as if the new data was equal to the product of the existing average and the cap factor. This ensures that volume spikes will not affect the system’s perception of the issue’s liquidity – spikes may occur, for instance, when a major shareholder sells a major block. Secondly, if existing average exceeds the spot data by a factor of more than this same volumeAveragingCap, then the damping factor used in the calculation will not be instrumentVolumeInfoDecay, but rather the square of this number. This helps avoid the system assuming greater liquidity in an issue than will otherwise be the case when volume is declining precipituously – immediately after issue, for instance, or after accumulation of a significant block by a “buy-and-hold” investor.<\/p><\/blockquote>\nThe volume figures for the HIMIPref™ indices are reported as the median averageTradingVolume for the index, where the median is calculated by ordering the constituent issues by averageTradingVolume and taking the median by constituent issue weight; e.g., half the index by weight will have a greater averageTradingValue, half will have less.<\/p>\n
The reported volume for the FixedReset index has been boosted by the flood of new issues; a new issue’s AverageTradingValue is set by default to $2.5-million, which will usually increase a bit in the period immediately after issue and then decay until it reaches an equilibrium figure. These new issues, with the large AverageTradingValues, have influenced the reported average greatly by two mechanisms:<\/p>\n
\n
- the median issue has almost always not reached equilibrium on calculation date\n
- the issue chosen as the median has generally been in the middle of a gap, resulting in jumps when the weight of new issues changes the median<\/ul>\n
So, anyway, I thought I’d plot the reported figures and compare them with a mature market, PerpetualDiscounts. The influence of the tax-loss-selling-end-of-the-universe frenzy can be clearly seen in the latter plot.<\/p>\n
<\/div>\n
<\/div>\n","protected":false},"excerpt":{"rendered":"
I got curious about this. The averageTradingValue for an individual issue is calculated as volume-average * flatBidPrice-Average where volume – average Report Summary The volume-average attribute is calculated from volume-spot and the instrumentVolumeInfoDecay parameter using …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[10],"tags":[],"class_list":["post-5995","post","type-post","status-publish","format-standard","hentry","category-index-construction-and-reporting"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5995","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=5995"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5995\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5995"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5995"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5995"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}