Principal component analysis based construction and evaluation of cryptocurrency index

作者：

Highlights：

• Principal Component Analysis based methodology to construct a cryptocurrency index.

• Our adaptive index takes into account the dynamics of the cryptocurrency market.

• Evaluation of the proposed methodology on actual historical and real-time data.

• The dynamic cryptocurrency index is able to capture the market trend early on.

• Comparison with other existing cryptocurrency indexes based on Three Factor Model.

摘要

•Principal Component Analysis based methodology to construct a cryptocurrency index.•Our adaptive index takes into account the dynamics of the cryptocurrency market.•Evaluation of the proposed methodology on actual historical and real-time data.•The dynamic cryptocurrency index is able to capture the market trend early on.•Comparison with other existing cryptocurrency indexes based on Three Factor Model.

论文关键词：Crypto index,Cryptocurrency,Principal component analysis,Financial markets,Technical analysis

论文评审过程：Received 8 August 2019, Revised 24 July 2020, Accepted 25 July 2020, Available online 28 July 2020, Version of Record 5 August 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113796