sstoeckl/opencryptoassetpricing

Open Crypto Pricing

Weekly cryptocurrency risk factors — market (CMKT), size (CSIZE), momentum (CMOM) — from CoinGecko and CoinMarketCap, chosen as the FAIR benchmark for investable crypto portfolios, plus the full specification multiverse and evaluation behind that choice and a crosswalk of both providers' coin identifiers. Website and methodology: https://opencryptopricing.com

Standard series: 2013-12-30 to 2026-10-04 (weekly), updated every Monday.

The standard factor model

ISO weeks (Monday to Sunday, close Sunday 24:00 UTC); coins with previous-week average market cap >= $1M; stablecoins, wrapped/bridged/staked tokens and tokenised traditional assets excluded; value weights (previous-week average cap); terciles; breakpoints from coins >= $100M (all coins assigned); at least 5 coins per leg; no winsorisation.

• CMKT: value-weighted market return in excess of the 3-month T-bill (RF, 365-day accrual)
• CSIZE: small minus big (terciles of previous-week average cap)
• CMOM: winners minus losers (terciles of the return over the previous two weeks)

It gives passive investable portfolios (BTC, ETH, top-N, index replicas) the smallest alphas and prices investable characteristic portfolios best among 249,024 candidate designs; see the methodology page for the evaluation and why it differs from Liu, Tsyvinski & Wu (2022).

Files

• factors/factors_{cg,cmc}_investable.{csv,parquet}: the standard (CoinGecko is canonical). Columns: week_start, week_end, CMKT, CSIZE, CMOM, RF, n_coins.
• factors/factors_{cg,cmc}_investable_lag1.*: with a 1-day implementation lag.
• factors/factors_{cg,cmc}_all.*: same design with all-coin breakpoints (comparison only).
• factors/daily/factors_{cg,cmc}_investable_daily.* and factors/monthly/..._monthly.*: daily and monthly returns of exactly the standard's weekly portfolios (buy-and-hold within the week; daily returns compound to the weekly series; months are complete calendar months).
• factors/calendars/factors_{src}_{cal}[_lag1].*: the standard on 8 week calendars (sharp = Liu et al.: Jan 1-7 = week 1; mon..sun = 7-day weeks closing on that weekday).
• factors/liu/factors_{src}_liu_{all,investable}.*: Liu et al. (2022) exact construction.
• crosswalk/coin_crosswalk.{csv,parquet}: one row per coin: our id uid (never reused), cmc_id, cg_id (CoinGecko slug), cg_numeric_id, name, symbol; match_confidence = high / medium / low for matched pairs (each confirmed against both providers' prices), cg_only / cmc_only for coins listed by one provider only (pairs still under review are not published as matches); match_basis = evidence used (contract, links, name+symbol, slug, DefiLlama); defillama_check = agrees / disagrees / suggests_pair_we_lack; flags is_stablecoin, is_derived_token, is_tokenized_tradfi. In the CSV files missing values are empty fields.
• Research vintage 2026-10-07:
  • multiverse/: specification of all 249,024 worlds (Fieberg, Günther, Poddig & Zaremba 2024 decision tree x breakpoint universe x source x calendar, plus Liu-exact worlds), their weekly factors (factors/calendar=*/source=*/, CMKT NOT in excess of RF here), Sharpe ratios and non-standard errors.
  • evaluation/: fairness (passive alphas), pricing (37 characteristic long-shorts), out-of- sample Sharpe per world x model; finalists, bootstrap and spanning tests.
  • test_assets/: 18 passive investable indices and investable characteristic portfolios.

Cleaning (all series)

Positive price, market cap and volume; coin-days worth more than Bitcoin removed; daily reversal filter (>= 300% and net < 50% over two days); daily returns above 1,000% removed; weekly returns only from complete daily data (Fieberg et al. 2024, Sec. 2.3).

Legacy

Files under data/ are from the May 2026 pipeline and are no longer updated.

Citation

Stoeckl, S. and Pukrop, M. (2026). Open Crypto Pricing. University of Liechtenstein. https://opencryptopricing.com. Please also cite Liu, Tsyvinski and Wu (2022), JF 77(2), and Fieberg, Günther, Poddig and Zaremba (2024), IRFA 92.

Licence: CC BY 4.0 (our factor series, multiverse, evaluation and crosswalk). Underlying market data are from CoinGecko and CoinMarketCap and subject to their terms.