代 DAI Digital Art Index: A robust price index for heterogeneous digital assets

50 Pages Posted: 14 Dec 2022

See all articles by Min-Bin Lin

Min-Bin Lin

Karlsruhe Institute of Technology - Institute AIFB

Bingling Wang

IRTG 1792; Humboldt-Universität zu Berlin

Fabian Bocart

Artnet Worldwide Corporation

Christian M. Hafner

Catholic University of Louvain - Institute of Statistics

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

Date Written: November 17, 2022

Abstract

The big bang of non-fungible tokens (NFTs) has caused the birth of a brand new era for digital art. NFTs, driven by blockchain and smart contracts, provide both artists and art collectors an unprece- dented marketplace equipped with more security, flexibility, publicity, and freedom to monetize. Unlike the conventional art market, NFT art market trades works of art in rapid succession and has no slug- gish business cycle. Yet, the emergence of such a market has been considered to be packed with speculation and economic uncertainty, given the limited understanding towards this market. To precisely depict the NFT art market and offer a gauge for market volatility, we construct the price index – Digital Art Index (DAI) – using hedonic regression on the top 10 liquid NFT art collections and provide an empirical overview. Due to the common phenomenon of outlying price observations, we propose two innovative alternative procedures – Huberization and DCS-t filtering to create a robust index. Moreover, by considering each artwork’s time-variant and time-invariant characteristics, we are able to investigate price determinants and access the intrinsic value of the market.

All the supplementary materials and source codes can be found in the Q2 ecosystem: Quantlet.com and Quantinar.com.

Keywords: Non-fungible token, digital art, hedonic regression, index construction, robustness

JEL Classification: C14, C43, C51, G10, Z11

Suggested Citation

Lin, Min-Bin and Wang, Bingling and Bocart, Fabian and Hafner, Christian M. and Härdle, Wolfgang Karl, 代 DAI Digital Art Index: A robust price index for heterogeneous digital assets (November 17, 2022). Available at SSRN: https://ssrn.com/abstract=4279412 or http://dx.doi.org/10.2139/ssrn.4279412

Min-Bin Lin (Contact Author)

Karlsruhe Institute of Technology - Institute AIFB ( email )

Building 05.20 KIT-Campus South
Karlsruhe, D-76128
Germany

Bingling Wang

IRTG 1792 ( email )

Unter den Linden 6
Berlin, AK Berlin 10099
Germany

HOME PAGE: http://hu.berlin/Bingling-Wang

Humboldt-Universität zu Berlin

Humboldt Universität
Unter den Linden 6
Berlin, 10099
Germany

Fabian Bocart

Artnet Worldwide Corporation ( email )

233 Broadway
Floor 26
New York City, NY 10279
United States

Christian M. Hafner

Catholic University of Louvain - Institute of Statistics ( email )

Place Montesquieu 3
Louvain-la-Neuve, 1348
Belgium
+32 10 47 43 06 (Phone)

HOME PAGE: http://www.stat.ucl.ac.be/ISpersonnel/hafner/

Wolfgang Karl Härdle

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

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