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2016-05-24Buch DOI: 10.18452/4631
CRIX an Indexfor blockchainbased Currencies
dc.contributor.authorTrimborn, Simon
dc.contributor.authorHärdle, Wolfgang Karl
dc.date.accessioned2017-06-16T01:25:33Z
dc.date.available2017-06-16T01:25:33Z
dc.date.created2017-02-07
dc.date.issued2016-05-24
dc.date.submitted2016-05-24
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5283
dc.description.abstractThe S&P500 or DAX30 are important benchmarks for the financial industry. These and other indices describe different compositions of certain segments of the financial markets. For currency markets, the IMF offers the index SDR. Prior to the Euro, the ECU existed, which was an index representing the development of European currencies. It is surprising, though, to see that the common index providers have not mapped emerging e-coins into an index yet because with cryptos like Bitcoin, a new kind of asset of great public interest has arisen. Index providers decide on a fixed number of index constituents which will represent the market segment. It is a huge challenge to set this fixed number and develop the rules to find the constituents, especially since markets change and this has to be taken into account. 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. The codes used to obtain the results in this paper are available via www.quantlet.de.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectIndex constructioneng
dc.subjectbitcoineng
dc.subjectmodel selectioneng
dc.subjectAICeng
dc.subjectcryptocurrencyeng
dc.subjectCRIXeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleCRIX an Indexfor blockchainbased Currencies
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100243699
dc.identifier.doihttp://dx.doi.org/10.18452/4631
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages27
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2016
local.edoc.container-issue21
local.edoc.container-year2016
local.edoc.container-erstkatid2195055-6

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