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sstoeckl/
opencryptoassetpricing

tabular-regression

time-series-forecasting

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Open Crypto Asset Pricing

Cryptocurrency risk factors (CMKT, CSMB, CMOM) constructed following Liu, Tsyvinski & Wu (2022), "Common Risk Factors in Cryptocurrency," Journal of Finance, 77(2), 1133-1177. Website: sstoeckl.github.io/crypto_data Author: Sebastian Stoeckl, Professor of Financial Economics, University of Liechtenstein.

Dataset Structure

data/ spec_grid.parquet # Specification grid (parameter lookup) spec_grid.csv # Same, for easy… See the full description on the dataset page: https://huggingface.co/datasets/sstoeckl/opencryptoassetpricing.