In alpha and beta versions of CoinDr, BANCA has put much effort into the study of factor models. In alpha version, we have already published the series paper on traditional momentum factor. In beta version, there will be more to come about the factor topic, which contains deeper research and modeling. The logic behind those study lies in the important role factor models are playing in today’s financial world. It is already the driving force behind many of the world’s largest quant funds. Therefore, we think it will also become very important in the crypto society.
Many studies have already been performed in the field. For example, Yukun Liu, Aleh Tsyvinski and Xi Wu have proved factor models to be effective in crypto markets in their 2019 paper “Common Risk Factors in Cryptocurrency”, which was published in Journal of Finance. They have looked at four different groups of factors: size, momentum, volume and volatility and have concluded that all four factor groups can generate significant performance when used to construct market neutral portfolios. According to BANCA team’s internal research, we have found that many of those basic factors still work well in today’s crypto market. Thus, we would like to introduce them to our users and help users stay ahead of the curve by developing new factors that might work for longer period of time.
- Research of CoinDr beta version reports continues.
- Bug-fixing of CoinDr alpha version continues.
The BANCA platform serves the global cryptocurrency community. BANCA’s dynamic eco-chain uses AI and expert system that includes automatic management. The BANCA platform analyzes Big Data and delivers precise services tailored to the specific needs of our individual users.