About
Project Description
Open Crypto Asset Pricing is a research project that provides freely available cryptocurrency risk factors for the academic community. The project replicates and extends the factor construction methodology of Liu, Tsyvinski & Yang (2022) and makes the resulting data available in multiple parameter configurations.
The goal is to provide a crypto-specific analogue to projects like Open Asset Pricing and Kenneth French’s Data Library, offering standardized risk factors that researchers can use without needing to build their own data pipelines.
Data Source
All cryptocurrency data is sourced from CoinMarketCap via the crypto2 R package (CRAN), developed by Sebastian Stoeckl. The package provides programmatic access to CoinMarketCap’s historical data including delisted coins.
Key properties of the data:
- Survivorship-bias free: The
crypto_listings()function retrieves historical snapshots that include coins subsequently delisted from CoinMarketCap. - Daily frequency: Raw data is at daily frequency; aggregated to weekly and monthly for factor construction.
- USD denomination: All prices and market capitalizations are denominated in USD.
Reference
This project implements the methodology described in Liu et al. (2022).
Source Code
The full source code for the data pipeline, factor construction, and this website is available on GitHub:
How to Cite
If you use these data in academic work, please cite Stoeckl (2026) and Liu et al. (2022).
License
The factor and portfolio data are provided freely for academic and non-commercial use. The source code is available under the MIT License.
Contact
For questions, bug reports, or feature requests, please open an issue on the GitHub repository or contact Sebastian Stoeckl directly.