论文标题
Crix上的ETF构造
ETF construction on CRIX
论文作者
论文摘要
由于高波动性，对加密货币（CCS）的投资仍然存在风险。交易所交易基金（ETF）是使风险多样化并受益于整个CC部门的增长的合适工具。我们在CRIX上构造了一个ETF，即通过动态调整其成分权重，该索引可密切映射非平稳的CC动力学。方案分析考虑了受监管的CC交易所的费用时间表，从高频订单数据数据中获得的差价以及随机存入资本存款的资本存款。 The analysis yields valuable insights into the mechanisms, costs and risks of this new 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, a portion of 5.2% needed to be rebalanced at the rebalancing dates, iii) trading costs are low与传统资产相比，iv）CC部门的流动性在分析期间有显着增加，尤其是AltCoins的差异，并增加了交易的规模。但是，由于BTC和ETH受到重新平衡的影响最大，因此利差成本仍然有限。
Investments in cryptocurrencies (CCs) remain risky due to high volatility. Exchange Traded Funds (ETFs) are a suitable tool to diversify risk and to benefit from the growth of the whole CC sector. We construct an ETF on the CRIX, the CRyptocurrency IndeX that maps the non-stationary CC dynamics closely by adapting its constituents weights dynamically. The scenario analysis considers the fee schedules of regulated CC exchanges, spreads obtained from high-frequency order book data, and models capital deposits to the ETF stochastically. The analysis yields valuable insights into the mechanisms, costs and risks of this new 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, a portion of 5.2% needed to be rebalanced at the rebalancing dates, iii) trading costs are low compared to traditional assets, iv) the liquidity of the CC sector has increased significantly during the analysis period, spreads occur especially for altcoins and increase by the size of the transactions. But since BTC and ETH are most affected by rebalancing, the cost of spreads remains limited.
