About
Open Crypto Pricing is a research project that provides freely available cryptocurrency risk factors for the academic community. The purpose of the project is to provide a standardized, reproducible, and transparent set of cryptocurrency risk factors that can be used in empirical research without the need for researchers to build their own data pipelines. It is a crypto-specific analogue to projects like Open Asset Pricing and Kenneth French’s Data Library. And builds on the open-source development of the Asset Pricing literature.
The project replicates and extends the factor construction methodology of Liu et al. (2022) and makes the resulting data available in multiple parameter configurations.
Team
Sebastian Stoeckl Professor of Financial Economics University of Liechtenstein
- Website: www.sebastianstoeckl.com
- GitHub: github.com/sstoeckl
Moritz Pukrop PhD Candidate University of Liechtenstein
- GitHub: github.com/moritzpuk
Data Source
All cryptocurrency data is sourced from CoinMarketCap and CoinGecko via the crypto2 R package (CRAN), developed by Sebastian Stoeckl. The package provides programmatic access to CoinMarketCap’s and CoinGecko’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.
How to Cite
If you use these data in academic work, please cite Stoeckl & Pukrop (2026) and Liu et al. (2022).
@article{liu2022common,
author = {Liu, Yukun and Tsyvinski, Aleh and Wu, Xi},
title = {Common Risk Factors in Cryptocurrency},
journal = {The Journal of Finance},
volume = {77},
number = {2},
pages = {1133--1177},
year = {2022},
doi = {10.1111/jofi.13119}
}
@misc{stoeckl2026opencrypto,
author = {Stoeckl, Sebastian and Pukrop, Moritz},
title = {Open Crypto Pricing},
year = {2026},
institution = {University of Liechtenstein},
url = {https://huggingface.co/datasets/sstoeckl/opencryptoassetpricing}
}
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 (Contact).