A First Econometric Analysis of the CRIX Family

47 Pages Posted: 31 Aug 2016

See all articles by Shi Chen

Shi Chen

Humboldt University of Berlin

Cathy Chen

Humboldt University of Berlin

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

TM Lee

CoinGecko

Bobby Ong

CoinGecko

Date Written: August 30, 2016

Abstract

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

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

Shi Chen

Humboldt University of Berlin

Unter den Linden 6
Berlin, AK Berlin 10099
Germany

Cathy Chen

Humboldt University of Berlin ( email )

Unter den Linden 6
Berlin, AK Berlin 10099
Germany

Wolfgang Karl Härdle (Contact Author)

Blockchain Research Center Humboldt-Universität zu Berlin ( email )

Unter den Linden 6
Berlin, D-10099
Germany

Charles University ( email )

Celetná 13
Dept Math Physics
Praha 1, 116 36
Czech Republic

National Yang Ming Chiao Tung University ( email )

No. 1001, Daxue Rd. East Dist.
Hsinchu City 300093
Taiwan

Asian Competitiveness Institute ( email )

Singapore

Academy of Economic Studies, Bucharest ( email )

Bucharest
Romania

TM Lee

CoinGecko

Singapore
Singapore

Bobby Ong

CoinGecko

Singapore
Singapore

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