Financial markets are dynamic and changes in value of financial products are driven by many factors including economic growth, geopolitical news, scarcity, corporate earnings, demographic trends and, most basic of all, fear and greed.
There are millions of financial products including many thousands of publicly listed companies, hundreds of thousands of ETFs, mutual funds and other investment products and millions of bonds and derivatives such as options, futures and warrants.
However, when it comes to modelling financial risk or conveying a summary view of financial markets, there is a much smaller number of time series that is frequently used as a model input or simply as an overall bellwether. Alveo’s data management solution handle time series of every asset class or macro-economic category, in every frequency and for every length. Alveo’s Ops360 user interface includes data derivation to construct new time series or proxy missing values, data quality management, workflow configuration to onboard and distribute new data sets, extensive search capabilities and integration with external libraries.
In this series we examine some of them and their characteristics.
The traditional inflation hedge or safe harbor in times of market turmoil and the traditional basis for currency (alongside silver). The price of gold has seen a few big upswings followed by long periods of sideways movement. Below we show 50+ years of gold prices in our Ops360 data management user interface. We can see the big uptick during the global financial crisis followed by a drop and then another uptick during the Corona pandemic.
2. Foreign Exchange (FX)
There are about 180 currencies in the world circulating 197 countries. (source : Wikipedia). However, a smaller number is used in international trade and used as reserve currencies, topped by the USD and followed by the EUR and the Chinese Yuan.
Some time series data comes from a specific supplier, for example indices such as the Dow Jones Industrial Average which are created by data companies. Central bank lending rates too are controlled by a single institution. Other time series data can be pieced together from different brokers or exchanges. Examples are currency data or interest rate swaps information.
To help collate a complete picture, or also to compare different sources about the terms and conditions of financial products, Alveo’s data management solutions can help.
The EUR / USD, note the spike in the first half of 2008 leading up to the stock market crash in the autumn of that year.
The volatility index from CBOE is also known as the fear index. Looking at the VIX index over a longer time period provides a snapshot of major geopolitical and economic uncertainty including the Iraq War in 2003 and the height of the European Sovereign Debt crisis in the early 2010s. Zooming in on specific periods shows some gaps in the time series for this index.
Few economic time series are as closely monitored by central banks, governments and the general public as inflation. Below we show some time series with data from the Research Division at the Federal Reserve Bank of St. Louis. The first shows the annual US CPI number over the last 60 years. The second shows month on month numbers including the recent sharp growth in inflation.