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Volume 11, Issue 1
Towards a taxonomy for crypto assets

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Cogent Economics & Finance Volume 11, 2023 - Issue 1

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FINANCIAL ECONOMICS

Towards a taxonomy for crypto assets

John Fry1 Centre for Mathematical Sciences, School of Natural Sciences, University of Hull, Hull, UKCorrespondence[email protected]

Olamide Ibiloye2 Centre of Excellence for Data Science Artificial Intelligence and Modelling, University of Hull, Hull, UK

Article: 2207266 | Received 29 Dec 2022, Accepted 23 Apr 2023, Published online: 01 May 2023

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https://doi.org/10.1080/23322039.2023.2207266
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Figures & data

Table 1. Summary statistics of collected data

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Table 2. Suggested categorisation of cryptocurrencies based on Kolmogorov-Smirnov distance

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Table 3. Suggested categorisation of cryptocurrencies based on Cramér-von Mises distance

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Table 4. Order of the fitted GARCH models chosen using forward selection

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Table 5. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (3)(3) $D i s t a n c e = sup_{i} \{| x_{i} - y_{i} |\} .$ (3)

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Table 6. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (4)(4) $D i s t a n c e = \sqrt{\sum_{j = 0}^{max (p_{1}, p_{2})} {(α_{1, j} - α_{2, j})}^{2} + \sum_{j = 1}^{max (q_{1}, q_{2})} {(β_{1, j} - β_{2, j})}^{2}} .$ (4)

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Table 7. Suggested categorisation of cryptocurrencies based on Kolmogorov-Smirnov distance

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Table 8. Suggested categorisation of cryptocurrencies based on Cramér-von Mises distance

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Table 9. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (3)(3) $D i s t a n c e = sup_{i} \{| x_{i} - y_{i} |\} .$ (3)

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Table 10. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (4)(4) $D i s t a n c e = \sqrt{\sum_{j = 0}^{max (p_{1}, p_{2})} {(α_{1, j} - α_{2, j})}^{2} + \sum_{j = 1}^{max (q_{1}, q_{2})} {(β_{1, j} - β_{2, j})}^{2}} .$ (4)

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Towards a taxonomy for crypto assets

Figures & data

Table 1. Summary statistics of collected data

Table 2. Suggested categorisation of cryptocurrencies based on Kolmogorov-Smirnov distance

Table 3. Suggested categorisation of cryptocurrencies based on Cramér-von Mises distance

Table 4. Order of the fitted GARCH models chosen using forward selection

Table 5. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (3)(3) Distance=supi|xi−yi|.(3)

Table 6. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (4)(4) Distance=∑j=0max(p1,p2)(α1,j−α2,j)2+∑j=1max(q1,q2)(β1,j−β2,j)2.(4)

Table 7. Suggested categorisation of cryptocurrencies based on Kolmogorov-Smirnov distance

Table 8. Suggested categorisation of cryptocurrencies based on Cramér-von Mises distance

Table 9. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (3)(3) Distance=supi|xi−yi|.(3)

Table 10. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (4)(4) Distance=∑j=0max(p1,p2)(α1,j−α2,j)2+∑j=1max(q1,q2)(β1,j−β2,j)2.(4)

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Table 5. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (3)(3) $D i s t a n c e = sup_{i} \{| x_{i} - y_{i} |\} .$ (3)

Table 6. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (4)(4) $D i s t a n c e = \sqrt{\sum_{j = 0}^{max (p_{1}, p_{2})} {(α_{1, j} - α_{2, j})}^{2} + \sum_{j = 1}^{max (q_{1}, q_{2})} {(β_{1, j} - β_{2, j})}^{2}} .$ (4)

Table 9. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (3)(3) $D i s t a n c e = sup_{i} \{| x_{i} - y_{i} |\} .$ (3)

Table 10. Suggested categorisation of cryptocurrencies based on the GARCH distance measure shown in EquationEquation (4)(4) $D i s t a n c e = \sqrt{\sum_{j = 0}^{max (p_{1}, p_{2})} {(α_{1, j} - α_{2, j})}^{2} + \sum_{j = 1}^{max (q_{1}, q_{2})} {(β_{1, j} - β_{2, j})}^{2}} .$ (4)