The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on di erent liquidity rules and various model selection criteria. Details of ECRIX (Exact...

Crypto-currencies have developed a vibrant market since bitcoin, the rst crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section. We discuss approaches of altcoins to generate value and their trading and information...

We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large datasets. It consists in multi-plying the penalty function by a constant which tunes the penalizing power of the function itself as in the Hallin and Liška...

We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large datasets. It consists in multiplying the penalty function times a constant which tunes the penalizing power of the function itself as in the Hallin and Lika...

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

We propose a modeling framework which allows for creating probability predictions on a future market crash in the medium term, like sometime in the next five days. Our framework draws upon noticeable similarities between stock returns around a financial market crash and seismic activity around...

In the past few years, wireless devices, including pocket PCs, pagers, mobile phones, etc, have gained popularity among a variety of users across the world and the use of mobile phones in particular, has increased significantly in many parts of the world, especially in India. Cell phones are now...