Rating
1800
Battle Count: 50
Relevance
8/10
Highly relevant for understanding why traditional size factors in crypto may not be tradable. It provides critical insights into liquidity constraints, portfolio capacity, and the distinction between statistical anomalies and investable opportunities in the crypto market.
Implementation Complexity
7/10
Requires constructing a large panel dataset with entry/exit tracking, implementing Markov chain transition matrices, and performing complex statistical tests (permutation, many-moment inequalities). Data cleaning for crypto assets (symbol reuse, supply revisions) is non-trivial.
Reproducibility
3/5
The paper provides detailed descriptions of the methodology, data sources (CoinMarketCap snapshots), and statistical tests. However, no public code repository is explicitly linked in the provided text, and the raw data requires subscription or specific scraping of historical CoinMarketCap snapshots.
Abstract
Weak-form efficiency implies symmetry restrictions on the Markov chain governing movement across the cryptocurrency capitalisation distribution. We test them on the full listed population: 8,970 assets, 690 weekly cross-sections, 2013 to 2026, with entry, exit and survival observed rather than inferred. Symmetry is rejected in every era, but the asymmetry falls by seventy percent, and what converged is entry-driven compositional churn rather than coins' own valuations. The bottom decile earns 27.5% per week on paper and nothing among assets that trade, on capacity of 293,000. Compensation for neglect exists precisely where trading does not.
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