Market index for cryptocurrencies
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Market index for cryptocurrencies

Cryptocurrencies (like Bitcoin for example) have recently received much attention, with their prices gaining momentum lately. Joining a competition on the design of market indices for such currencies organized by, we propose the market index Lykke Crypto Index 20 to be the weighted average of the 20 largest cryptocurrencies' market capitalization. The purpose of the index is to closely follow the value of cryptocurrencies, and to reflect both short-term movements and long-term trends.

We structured our project as follows:

  • Our technical paper can be found in the directory Paper/.
  • The analysis is done in the directories Matlab/ and R/. In Matlab/ we calculate the index and produce the paper figures. R/ contains the code to download the data via the Rest API and other exercises to construct the index.
  • In Data/ we store our daily data sample as well as a data snapshot of all available currencies and their market capitalization as of September 22, 2017.

The research is conducted by Onno Kleen and Christopher Zuber.

Copyright (C) 2017 Onno Kleen & Christopher Zuber