On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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4 results for “CRIX”

A first econometric analysis of the CRIX familyq-fin.ST

An econometric analysis of CRIX family indices.

problem Understanding the dynamics of CRIX family indices for pricing.

method Time-series econometric analysis using ARIMA and GARCH models.

result ARIMA(2,0,2)-t-GARCH(1,1) model captures volatility clustering and fat-tails.

CRIX family econometrics time series ARIMA GARCH

2020-09-25abs ↗pdf ↗

ETF construction on CRIXq-fin.GN

ETF on CRIX reduces crypto risk and diversifies growth.

problem High volatility in cryptocurrencies makes them risky investments.

method Dynamic ETF construction on CRIX, considering fees, spreads, and rebalancing.

result ETF remains robust in core, low trading costs, increased liquidity.

ETF Cryptocurrency CRIX Volatility Diversification

2022-11-28abs ↗pdf ↗

CRIX an index for cryptocurrenciesq-fin.ST

A new index CRIX for cryptocurrencies is proposed to track market changes.

problem Tracking the volatile and frequently changing cryptocurrency market.

method AIC-based method to select index constituents and assign optimal weights to altcoins.

result CRIX index improves tracking performance of cryptocurrency portfolios.

cryptocurrency index AIC altcoins market tracking cryptocurrency volatility

2020-09-21abs ↗pdf ↗

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrenciesq-fin.TR

Study high-frequency trading patterns in cryptocurrencies.

problem Understanding automated trading algorithms in cryptocurrency markets.

method Analyzes intraday trading data of cryptocurrencies, focusing on returns, volumes, and volatility.

result Provides insights into predictability of economic value in cryptocurrency markets.

Cryptocurrency High-frequency trading Intraday momentum Algorithmic trading Market predictability

2020-09-09abs ↗pdf ↗