Simon Trimborn

City University of Hong Kong (CityU) - Department of Management Sciences

Tat Chee Avenue

Kowloon Tong

Kowloon

Hong Kong

City University of Hong Kong (CityU) - School of Data Science

Kowloon

Hong Kong

  • City University of Hong Kong (CityU) - Department of Management Sciences

  • City University of Hong Kong (CityU) - School of Data Science

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 19,581

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41

CROSSREF CITATIONS

12

Scholarly Papers (9)

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1.

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 K. Härdle
City University of Hong Kong (CityU) - Department of Management Sciences, Sun Yat-sen University (SYSU) - International School of Business and Finance (ISBE) and Blockchain Research Center
Downloads 1,088 (26,085)
Citation 14

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

2.

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
Alla Petukhina, Simon Trimborn, Wolfgang K. Härdle and Hermann Elendner
University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, City University of Hong Kong (CityU) - Department of Management Sciences, Blockchain Research Center and Austrian Blockchain Center (ABC Research)
Downloads 955 (31,428)
Citation 8

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

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 K. Härdle
City University of Hong Kong (CityU) - Department of Management Sciences and Blockchain Research Center
Downloads 699 (48,323)
Citation 26

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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 K. Härdle
Humboldt University of Berlin, City University of Hong Kong (CityU) - Department of Management Sciences and Blockchain Research Center
Downloads 398 (96,637)
Citation 10

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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
City University of Hong Kong (CityU) - Department of Management Sciences, National University of Singapore and National University of Singapore (NUS) - Department of Statistics and Applied Probability
Downloads 253 (158,022)
Citation 4

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Bitcoin Blockchain, Network Dynamics, Two-Layer Sparsity

6.

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 K. Härdle
City University of Hong Kong (CityU) - Department of Management Sciences and Blockchain Research Center
Downloads 182 (214,891)
Citation 5

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Index construction, CRIX, risk analysis, bitcoin, cryptocurrency

7.

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, City University of Hong Kong (CityU) - Department of Management Sciences and affiliation not provided to SSRN
Downloads 163 (236,112)

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

8.

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
City University of Hong Kong (CityU) - Department of Management Sciences and affiliation not provided to SSRN
Downloads 133 (276,843)

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

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
City University of Hong Kong (CityU) - Department of Management Sciences, National University of Singapore and National Cheng Kung University
Downloads 126 (288,345)

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