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CRIX or evaluating Blockchain based currencies

Author

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  • Simon Trimborn
  • Wolfgang Karl Härdle

Abstract

More and more companies start offering digital payment systems. Smartphones evolve to a digital wallet such that it seems like we are about to enter the era of digital finance. In fact we are already inside an digital economy. The market of e-x (x = "finance", "money", "book", you name it . . . ) has not only picked up enormous momentum but has become standard for driving innovative activities of the global economy. A few clicks at y and payment at z brings our purchase to location w. Own currencies for the digital market were therefore just a matter of time. The idea of the Nobel Laureate Hayek, see [1], to let companies offer concurrent currencies seemed for a long time scarcely probabilistic, but the invention of the Blockchain made it possible to fill his vision with life. Cryptocurrencies (abbr. cryptos) came up and widened the angle towards this new level of economic interaction. Since bitcoins’ appearance a bunch of new cryptos spread the web and offered new ways of proliferation. The crypto market then fanned out and showed clear signs of acceptance and deep liquidity so that one has to look closer at the general moves and dynamics.

Suggested Citation

  • Simon Trimborn & Wolfgang Karl Härdle, 2015. "CRIX or evaluating Blockchain based currencies," SFB 649 Discussion Papers SFB649DP2015-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Handle: RePEc:hum:wpaper:sfb649dp2015-048
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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2015-048.pdf
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    References listed on IDEAS

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    1. Horton, Nicholas J. & Kleinman, Ken P., 2007. "Much Ado About Nothing: A Comparison of Missing Data Methods and Software to Fit Incomplete Data Regression Models," The American Statistician, American Statistical Association, vol. 61, pages 79-90, February.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. repec:eee:ecomod:v:222:y:2011:i:4:p:964-972 is not listed on IDEAS
    4. Shephard, N.G., 1991. "From Characteristic Function to Distribution Function: A Simple Framework for the Theory," Econometric Theory, Cambridge University Press, vol. 7(04), pages 519-529, December.
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    Cited by:

    1. Shi Chen & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle & TM Lee & Bobby Ong, 2016. "A first econometric analysis of the CRIX family," SFB 649 Discussion Papers SFB649DP2016-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Schilling, Linda & Uhlig, Harald, 2018. "Some simple Bitcoin Economics," CEPR Discussion Papers 12831, C.E.P.R. Discussion Papers.
    3. Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle, 2017. "Investing with cryptocurrencies - A liquidity constrained investment approach," SFB 649 Discussion Papers SFB649DP2017-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Hermann Elendner & Simon Trimborn & Bobby Ong & Teik Ming Lee, 2016. "The Cross-Section of Crypto-Currencies as Financial Assets: An Overview," SFB 649 Discussion Papers SFB649DP2016-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. repec:eee:empfin:v:49:y:2018:i:c:p:107-122 is not listed on IDEAS

    More about this item

    Keywords

    Index construction; CRIX; risk analysis; bitcoin; cryptocurrency;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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