2015-03-16(Mon.)，PM 2:20 - 3:10 ，Speaker：Prof. Wolfgang K. Härdle (Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and Economics Humboldt-Universität zu Berlin)

Topic： CIX - a Cryptocurrency Index
Speaker： Prof. Wolfgang K. Härdle (Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and Economics Humboldt-Universität zu Berlin)
Time： 104/03/16 (Mon.) PM 2:20 - 3:10 (Tea Time: PM 3:10 - 3:30, Room 821)
Place： GENⅢ 837
Abstract： Modern price indices like the S&P500 have a long theoretic history, dating back to the indices of Laspeyres and Paasche. They are used in the financial market to build a proxy for an asset universe. For the cryptocurrency market doesn't exist till now a reliable one, therefore is it difficult to compare cryptos against the market or the crypto universe against other markets. This paper presents the methodology of an index (CIX) for the crypto market, derived with modern statistical methods, and compares it by return, variance, sharpe ratio and expected shortfall against other investment possibilities.