CRIX an index for cryptocurrencies
Simon Trimborn, Wolfgang Karl H\"ardle

TL;DR
This paper introduces CRIX, a dynamic index for cryptocurrencies that adapts to market changes using an AIC-based method, aiming to accurately represent the evolving crypto market for analysis and investment.
Contribution
It proposes a novel AIC-based method for constructing a cryptocurrency index that adapts to frequent market changes and includes altcoins for better tracking performance.
Findings
CRIX effectively tracks the cryptocurrency market dynamics.
Including altcoins reduces tracking errors.
Optimal weighting of altcoins improves index performance.
Abstract
The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of cryptocurrencies (CCs) other than Bitcoin. For fiat currency markets, the IMF offers the index SDR and, prior to the EUR, the ECU existed, which was an index representing the development of European currencies. Index providers decide on a fixed number of index constituents which will represent the market segment. It is a challenge to fix a number and develop rules for the constituents in view of the market changes. In the frequently changing CC market, this challenge is even more severe. A method relying on the AIC is proposed to quickly react to market changes and therefore enable us to create an index, referred to as CRIX, for the cryptocurrency market.…
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Economic theories and models · Blockchain Technology Applications and Security
