Critical Investigation of Cryptocurrency Data and Analysis: A Comprehensive Overview

Abstract

The market betas of bitcoin in relation to a comprehensive crypto market index exhibit significant variation, contingent upon the chosen index and the source of data. Significant disparities are observed in the case of ether and other cryptocurrencies. Upon doing a comprehensive analysis, it becomes evident that the underlying reason for these disparities lies in the longstanding issue of inaccurate time-stamping of certain ranking-site data, consequently affecting the CRIX market index as well. Moreover, it is necessary to make adjustments to individual currency data obtained from some exchanges in order to account for the volatility in pricing associated with the 'stablecoin' tether. However, it is worth noting that with the introduction of margin trading for the tether-dollar pair on Bitfinex, there has been a noticeable divergence between the pricing of their coins and those observed on other cryptocurrency exchanges. Is there another emerging issue related to Bitfinex and Tether? In conclusion, when considering the risk analysis of coin returns, it is imperative to utilise advanced models. However, the process of calibrating even the most basic GARCH model poses significant challenges due to its remarkable sensitivity to the choice of data source.