Here you can find datasets in the form they were used in selected publications. A short description of the data is available, though for a more comprehensive data description, please see the Associated Publications. The publications also state the origin of the datasets. The data are strictly for research purposes only and redistribution is not permitted. In case you use the data for your own work, please reference the Associated Publications for the respective dataset.
Data for "Lead Detection in Bitcoin markets"
The dataset contains the Bitcoin transactions extracted from the Bitcoin blockchain. The transactions are grouped by their size and their geographical location. The first group in each continent are the 10% lowest transactions, tenth group are the 10% highest. The column names are times indices, given as seconds since 01.01.1970 00:00:00 UTC.
Rows 1-10: Transactions from Africa
Rows 11-20: Transactions from Asia
Rows 21-30: Transactions from Europe
Rows 31-40: Transactions from North America
Rows 41-50: Transactions from Oceania
Rows 51-60: Transactions from South America
The data are demeaned and cleaned by a GARCH(1,1) model.
Chen, Y., P. Guidici, B. Hadji Misheva, S. Trimborn (2020) Detecting Lead Behavior in Crypto Networks Risks, 8(1), 4, https://doi.org/10.3390/risks8010004
Data for "Investing with Cryptocurrencies - a Liquidity Constrained Investment Approach"
The datasets contain the daily returns for 42 cryptocurrencies in the time span 22.04.2014 - 30.10.2017 as well as 100 stocks, a bond index and a commodity index. The datasets also contain the daily trading volume in USD. The defined closing time for the cryptocurrency data is 11:59 pm UTC. The data were used in the publication Trimborn et al. (2019). For more details on the data, please see the Data Description section in the paper.
Trimborn, S., M. Li and W.K. Härdle (2019) Investing with Cryptocurrencies – A Liquidity Constraint Investment Approach Journal of Financial Econometrics, 18 (2), 280-306, doi.org/10.1093/jjfinec/nbz016
The website offers the updated CRIX data. Daily data with closing price as of 11:59 pm UTC are available. The data are derived with the methodology described in Trimborn and Härdle (2018). The derivations are performed by S&P Global. Please register on the website https://www.royalton-crix.com/ to receive the access links for the data.
Trimborn, S. and W.K. Härdle (2018) CRIX an Index for cryptocurrencies Journal of Empirical Finance, 49, 107-122, https://doi.org/10.1016/j.jempfin.2018.08.004
The website offers the updated VCRIX data. Daily data with closing price as of 11:59 pm UTC are available. The data are derived with the methodology described in Kim et al. (2021). Please register on the website https://www.royalton-crix.com/ to receive the access links for the data.
Kim, A., S. Trimborn, W.K. Härdle (2021) VCRIX – a volatility index for crypto-currencies, International Review of Financial Analysis, 78, 101915, https://doi.org/10.1016/j.irfa.2021.101915