A First Econometric Analysis of the CRIX Family

Chen, Shi; Chen, Cathy; Härdle, Wolfgang Karl; Lee, TM; Ong, Bobby

doi:10.2139/ssrn.2832099

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A First Econometric Analysis of the CRIX Family

47 Pages Posted: 31 Aug 2016

See all articles by Shi Chen

Wolfgang Karl Härdle

Blockchain Research Center Humboldt-Universität zu Berlin; Charles University; National Yang Ming Chiao Tung University; Asian Competitiveness Institute; Academy of Economic Studies, Bucharest

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on different liquidity rules and various model selection criteria. Details of ECRIX (Exact CRIX), EFCRIX (Exact Full CRIX) and also intraday CRIX movements may be found on the webpage of hu.berlin/crix.

Keywords: Index construction, CRIX, information criteria, model selection, AIC, BIC, market analysis, bitcoin, cryptocurrency

JEL Classification: C51, C52, G10

Suggested Citation: Suggested Citation

Chen, Shi and Chen, Cathy and Härdle, Wolfgang Karl and Lee, TM and Ong, Bobby, A First Econometric Analysis of the CRIX Family (August 30, 2016). Available at SSRN: https://ssrn.com/abstract=2832099 or http://dx.doi.org/10.2139/ssrn.2832099