We document characteristics-based return anomalies in a large cross-section (4,000) of crypto assets. Cryptocurrency returns exhibit momentum in the largest-cap group, reversals in other size groups, and strong crypto value and network adoption premia, from which we derive two novel factors to...

We directly optimize the objectives of portfolio management via reinforcement learning---an alternative to conventional supervised-learning-based paradigms that entail first-step estimations of return distributions, pricing kernels, or risk premia. Building upon breakthroughs in AI, we develop...

Nonfungible tokens (NFTs) are blockchain-based assets that represent proof of ownership for digital content and have received substantial interest. However, the pricing mechanisms of NFTs remain an open question. We show that physical appearance significantly influences the pricing patterns of...

Web3 and DeFi are widely advocated as innovations for greater financial inclusion and democratization. We conduct an initial investigation using data from the Ethereum network. We describe its network structure and distributions of transactions, mining, and ownership. Mining and ownership of...

The phenomenal rise of cryptocurrencies and decentralized finance have prominently featured ``staking'': Besides offering a convenience yield for transactions as digital media of exchange, tokens are frequently staked (and slashed) for base-layer consensus generation or for incentivizing...

This article reviews the literature on commodities from the perspective of an investor. We re-examine some of the early papers in the literature using recent data and find that the empirical support for the theory of normal backwardation as an explanation for the commodity risk premium is weak...