Valuation of Crypto Assets on Blockchain with Deep Learning Approach

39 Pages Posted: 13 Jul 2022

See all articles by Xi Zhou

Xi Zhou

School of Business, Southern University of Science and Technology, China

Esther Ying Yang

Risk Lighthouse, USA

Jing Rong Goh

Risk Lighthouse International, Singapore; Singapore Management University

Shaun S. Wang

Southern University of Science and Technology; Nanyang Technological University; Georgia State University; University of Waterloo

Chulin Xian

Nanyang Technological University

Date Written: June 24, 2022

Abstract

The importance of crypto-asset valuation is increasing as the ecosystem of blockchain continues to boom in recent years. We develop a deep learning framework to predict the value index of crypto assets by integrating the value variables’ information and decomposing the price into value and sentiment components. We apply the framework on ETH and AAVE, demonstrate their value indices and provide four econometric tests on the results’ quality. We show that the value index can be an effective proxy for crypto assets’ intrinsic value, and can thus provide a benchmark to the investment, consumption and financial reporting on crypto assets.

Keywords: asset valuation, block chain, crypto asset, deep learning, market sentiment

JEL Classification: G17, G12

Suggested Citation

Zhou, Xi and Yang, Esther Ying and Goh, Jing Rong and Wang, Shaun Shuxun and Xian, Chulin, Valuation of Crypto Assets on Blockchain with Deep Learning Approach (June 24, 2022). Available at SSRN: https://ssrn.com/abstract=4152512 or http://dx.doi.org/10.2139/ssrn.4152512

Xi Zhou (Contact Author)

School of Business, Southern University of Science and Technology, China ( email )

Esther Ying Yang

Risk Lighthouse, USA ( email )

United States

Jing Rong Goh

Risk Lighthouse International, Singapore ( email )

Singapore Management University

90 Stamford Road
178903
Singapore

Shaun Shuxun Wang

Southern University of Science and Technology ( email )

1088 Xueyuan Avenue
Shenzhen, Guangdong 518055
China
+8615815555369 (Phone)

Nanyang Technological University ( email )

S3-B1B-76 Nanyang Avenue
Singapore
Singapore

Georgia State University ( email )

35 Broad Street
Atlanta, GA 30303-3083
United States

University of Waterloo ( email )

Waterloo, Ontario N2L 3G1
Canada

Chulin Xian

Nanyang Technological University ( email )

S3 B2-A28 Nanyang Avenue
Singapore, 639798
Singapore

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