Simon Trimborn

University of Amsterdam - Amsterdam School of Economics (ASE)

Roetersstraat 11

Amsterdam, North Holland 1018 WB

Netherlands

University of Amsterdam - CeNDEF

Roetersstraat 11

Amsterdam, NL-1018WB

Netherlands

SCHOLARLY PAPERS

13

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6,779

SSRN CITATIONS
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SSRN RANKINGS

Top 13,420

in Total Papers Citations

102

CROSSREF CITATIONS

11

Scholarly Papers (13)

1.

Investing with Cryptocurrencies – evaluating their potential for portfolio allocation strategies

Quantitative Finance (2021): 1-29.
Number of pages: 64 Posted: 07 Nov 2018 Last Revised: 28 Sep 2021
University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, University of Amsterdam - Amsterdam School of Economics (ASE), Blockchain Research Center Humboldt-Universität zu Berlin and Austrian Blockchain Center (ABC Research)
Downloads 1,611 (21,510)
Citation 28

Abstract:

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Cryptocurrency, CRIX, Investments, Portfolio Management, Asset Classes, Blockchain, Bitcoin, Altcoins, DLT

2.

Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

Published version: Trimborn, S., Li, M. and W. K. Härdle (2019) "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach" Journal of Financial Econometrics, doi.org/10.1093/jjfinec/nbz016
Number of pages: 37 Posted: 19 Jul 2017 Last Revised: 12 Jul 2019
Simon Trimborn, Mingyang Li and Wolfgang Karl Härdle
University of Amsterdam - Amsterdam School of Economics (ASE), Sun Yat-sen University (SYSU) - International School of Business and Finance (ISBE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 1,376 (27,269)
Citation 14

Abstract:

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Crypto-Currency, CRIX, Portfolio Investment, Asset Classes, Blockchain

3.

CRIX an Index for Blockchain Based Currencies

Permanent Discussion paper. Revised and Published version: Trimborn, S. and W.K. Härdle (2018) "CRIX an Index for Cryptocurrencies" Journal of Empirical Finance, Volume 49, 2018, Pages 107-122, ISSN 0927-5398, Doi.org/10.1016/j.jempfin.2018.08.004.
Number of pages: 27 Posted: 27 Jun 2016 Last Revised: 10 Jul 2019
Simon Trimborn and Wolfgang Karl Härdle
University of Amsterdam - Amsterdam School of Economics (ASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 877 (51,869)
Citation 26

Abstract:

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Index construction, model selection, AIC, bitcoin, cryptocurrency, CRIX

4.

VCRIX - A Volatility Index for Crypto-Currencies

Number of pages: 39 Posted: 13 Nov 2019 Last Revised: 27 Aug 2021
Alisa Kim, Simon Trimborn and Wolfgang Karl Härdle
Humboldt University of Berlin, University of Amsterdam - Amsterdam School of Economics (ASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 864 (52,925)
Citation 19

Abstract:

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index construction, volatility, crypto-currency, VCRIX

5.

Discover Regional and Size Effects in Global Bitcoin Blockchain via Sparse-Group Network AutoRegressive Modeling

Number of pages: 38 Posted: 26 Sep 2018 Last Revised: 16 Feb 2021
Simon Trimborn, Ying Chen and Jiejie Zhang
University of Amsterdam - Amsterdam School of Economics (ASE), National University of Singapore and National University of Singapore (NUS) - Department of Statistics and Applied Probability
Downloads 399 (139,107)
Citation 4

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Bitcoin Blockchain, Network Dynamics, Two-Layer Sparsity

6.

gofCopula: Goodness-of-Fit Tests for Copulae

Number of pages: 43 Posted: 20 Apr 2020 Last Revised: 28 Apr 2021
Ostap Okhrin, Simon Trimborn and Martin Waltz
Humboldt University of Berlin - School of Business and Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and Dresden University of Technology
Downloads 316 (179,369)

Abstract:

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Goodness-of-Fit tests, copula, R-package

7.

Informative Effects of Expert Sentiment on the Return Predictability of Cryptocurrency

Number of pages: 81 Posted: 28 Apr 2021 Last Revised: 04 Aug 2021
Simon Trimborn and Yang Li
University of Amsterdam - Amsterdam School of Economics (ASE) and affiliation not provided to SSRN
Downloads 289 (197,093)
Citation 3

Abstract:

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Cryptocurrency experts, sentiment analysis, topic modeling, sentiment based price discovery

8.

CRIX or Evaluating Blockchain Based Currencies

Oberwolfach Report No. 42/2015 „The Mathematics and Statistics of Quantitative Risk“ DOI: 10.4171/OWR/2015/42
Number of pages: 9 Posted: 05 Jan 2017 Last Revised: 18 Apr 2021
Simon Trimborn and Wolfgang Karl Härdle
University of Amsterdam - Amsterdam School of Economics (ASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 240 (237,205)
Citation 5

Abstract:

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Index construction, CRIX, risk analysis, bitcoin, cryptocurrency

9.

TriSNAR: A Three-Layer Sparse Estimator for Large-Scale Network AutoRegressive Models

Number of pages: 57 Posted: 06 May 2020
Simon Trimborn, Ying Chen and Ray-Bing Chen
University of Amsterdam - Amsterdam School of Economics (ASE), National University of Singapore and National Cheng Kung University
Downloads 205 (275,315)
Citation 1

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High-Dimensions, Dimension Reduction, Structure Detection, Network Analysis, Bitcoin Exchanges

10.

Influencers, Inefficiency and Fraud – The Bitcoin Price Discovery Network Under the Microscope

Number of pages: 65 Posted: 25 Apr 2022 Last Revised: 13 Jul 2023
Simon Trimborn, Ying Chen and Ray-Bing Chen
University of Amsterdam - Amsterdam School of Economics (ASE), National University of Singapore and National Cheng Kung University
Downloads 194 (289,360)

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Influencer Identification, Blockchain Network Analysis, Market Efficiency, Structure Detection, Bitcoin Exchanges

11.

Influential assets in Large-Scale Vector AutoRegressive Models

Number of pages: 131 Posted: 04 Dec 2023
Kexin Zhang and Simon Trimborn
City University of Hong Kong (CityU) and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 146 (369,515)

Abstract:

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High-Dimensions, Forecasting, Dimension Reduction, Influencer Structure, Bellwether

12.

Blockchain Meets Network Analytics: A Tale of Heuristics, Location and Fraud Detection

Number of pages: 24 Posted: 05 May 2022 Last Revised: 09 Dec 2022
Simon Trimborn and Le Yu
University of Amsterdam - Amsterdam School of Economics (ASE) and affiliation not provided to SSRN
Downloads 141 (379,722)

Abstract:

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Network Analytics, Transaction Analysis, Location Identification, Price Investigation

13.

Influencer Detection meets Network AutoRegression – Influential Regions in the Bitcoin Blockchain

Number of pages: 75 Posted: 11 Oct 2022
Simon Trimborn, Hanqiu Peng and Ying Chen
University of Amsterdam - Amsterdam School of Economics (ASE), National University of Singapore (NUS) and National University of Singapore
Downloads 121 (427,043)

Abstract:

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Bitcoin Blockchain, Network Dynamics, Two-Layer sparsity