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.

27 Pages Posted: 27 Jun 2016 Last revised: 6 May 2019

See all articles by Simon Trimborn

Simon Trimborn

National University of Singapore (NUS) - Department of Mathematics

Wolfgang K. Härdle

Humboldt University of Berlin - Institute for Statistics and Econometrics; Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Date Written: June 15, 2016

Abstract

The S&P500 or DAX30 are important benchmarks for the financial industry. These and other indices describe different compositions of certain segments of the financial markets. For currency markets, the IMF offers the index SDR. Prior to the Euro, the ECU existed, which was an index representing the development of European currencies. It is surprising, though, to see that the common index providers have not mapped emerging e-coins into an index yet because with cryptos like Bitcoin, a new kind of asset of great public interest has arisen. Index providers decide on a fixed number of index constituents which will represent the market segment. It is a huge challenge to set this fixed number and develop the rules to find the constituents, especially since markets change and this has to be taken into account. A method relying on the AIC is proposed to quickly react to market changes and therefore enable us to create an index, referred to as CRIX, for the cryptocurrency market.

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

JEL Classification: C51, C52, G10

Suggested Citation

Trimborn, Simon and Härdle, Wolfgang K., CRIX an Index for Blockchain Based Currencies (June 15, 2016). 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.. Available at SSRN: https://ssrn.com/abstract=2800928 or http://dx.doi.org/10.2139/ssrn.2800928

Simon Trimborn

National University of Singapore (NUS) - Department of Mathematics ( email )

Department of Mathematics
Singapore, 117543
Singapore

Wolfgang K. Härdle (Contact Author)

Humboldt University of Berlin - Institute for Statistics and Econometrics ( email )

Unter den Linden 6
Berlin, D-10099
Germany
+49 30 2093 5631 (Phone)
+49 30 2093 5649 (Fax)

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Unter den Linden 6
Berlin, D-10099
Germany

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