Abstract:
We investigate the existence of stylized empirical facts forweb3 tokens beyond bitcoin. We examine a group of 27 significant tokens associated with projects that extend beyond simple value exchange. Despite functional differences, most tokens exhibit well-established empirical facts, including unconditional probability density of returns with heavy tails that gradually become Gaussian and volatility clustering. Furthermore, we compare assets traded on centralized (CEX) and decentralized (DEX) exchanges. We find that DEXs exhibit similar stylized facts, despite different trading mechanisms and often divergent long-term performance. We propose that this similarity is attributable to arbitrageurs striving to maintain similar centralized and decentralized prices. Our study contributes to a better understanding of the dynamics of web3 tokens and the relationship between CEX and DEX markets. It also has implications for investors seeking to navigate the evolving landscape of digital assets.
Joint work with Shen-Ning Tung (NTHU) and Wei Ru Chen (NTHU).
Speaker:
Christian Silva has a PhD in physics (econophysics) from the University of Maryland at College Park and almost 20 years of experience in the asset management industry as a quantitative analyst. He has participated in the development of multimillion dollars systematic investment strategies across several asset classes and time horizons. He is also a moderator for the Cornell University physics archives (quantitative finance/statistical finance) and a FRM certification holder. For more information please see idatafactory.com.
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