We construct an exchange-traded fund(ETF)based on the CRyptocurrency IndeX(CRIX),which closely maps nonstationary cryptocurrency(CC)dynamics by adapting the weights of its constituents dynamically.Our scenario analysi...We construct an exchange-traded fund(ETF)based on the CRyptocurrency IndeX(CRIX),which closely maps nonstationary cryptocurrency(CC)dynamics by adapting the weights of its constituents dynamically.Our scenario analysis considers the fee schedules of regulated CC exchanges,spreads obtained from order book data,and investment in-&outflows to the ETF are modelled stochastically.The scenario analysis yields valuable insights into the mechanisms,costs,and risks of this innovative financial product:i)although the composition of the CRIX ETF changes frequently(from 5 to 30 constituents),it remains robust in its core,as the weights of Bitcoin(BTC)and Ethereum(ETH)are robust over time;ii)on average,5.2%needs to be rebalanced on the rebalancing dates;iii)trading costs are low compared with traditional assets;iv)the liquidity of the CC sector increases significantly during the analysis period;spreads occur,especially for altcoins and increase with the size of the transactions.However,because BTC and ETH are the most affected by rebalancing,the cost of spreads remains limited.展开更多
基金Financial support from the Deutsche Forschungsgemeinschaft via the IRTG 1792"High-dimensional,Non-stationary Time Series",Humboldt-Universitätzu Berlin,is gratefully acknowledgedfunding from the European Union’s"FIN-TECH:A Financial supervision and Technology compliance training programme"under the Grant agreement No 825215.
文摘We construct an exchange-traded fund(ETF)based on the CRyptocurrency IndeX(CRIX),which closely maps nonstationary cryptocurrency(CC)dynamics by adapting the weights of its constituents dynamically.Our scenario analysis considers the fee schedules of regulated CC exchanges,spreads obtained from order book data,and investment in-&outflows to the ETF are modelled stochastically.The scenario analysis yields valuable insights into the mechanisms,costs,and risks of this innovative financial product:i)although the composition of the CRIX ETF changes frequently(from 5 to 30 constituents),it remains robust in its core,as the weights of Bitcoin(BTC)and Ethereum(ETH)are robust over time;ii)on average,5.2%needs to be rebalanced on the rebalancing dates;iii)trading costs are low compared with traditional assets;iv)the liquidity of the CC sector increases significantly during the analysis period;spreads occur,especially for altcoins and increase with the size of the transactions.However,because BTC and ETH are the most affected by rebalancing,the cost of spreads remains limited.
