Every trade on Binance classified by USD notional size, aggregated monthly. Retail <$10k · Mid $10k–$100k · Institutional >$100k. Source: Kraus (2025)
Trade-size composition — stacked volume share
Monthly Binance aggTrade volume share by size group. Stacked area = 100% of total volume.
Common market factor extracted by Dynamic Factor Model (DFM) following Che et al. (Crypto-Cycle & US Monetary Policy) from 7 reference cryptocurrencies. PC1 captures the dominant systematic component of daily crypto returns. CRIX benchmark: Humboldt-Universität (thecrix.de) — data not redistributable, displayed as log(CRIX) only.
Common Market Factor — Cumulative PC1
CRIX — Crypto Market Index (log scale)
Source: CRIX — Humboldt-Universität zu Berlin (thecrix.de). Not redistributable.
Assets classified monthly using an 18-month rolling quantile regression on 7 fundamentals. FI = Financially Instable · FF = Financially Fragile. Source: Kraus (2025) — SSRN · R Notebook
Financial Instability & Fragility — asset share (18M rolling window)
Portfolio Performance — Cumulative wealth (log scale, base 100)
Equally-weighted portfolios, 1-month forward lag (out-of-sample).
Monthly CBDC stance and sentiment indices from 635 BIS central bank speeches (2018–2026), classified by two complementary models: CBDC-BERT (Zafar et al., 2024) and Jev (LLM classifier). Score = Pro% − Anti%, 3-month MA. Source: Kraus & Lamagnère (2025)
Stance & Sentiment — Jev model (3M MA)
Jev (LLM classifier via JEV API). Score = Pro% − Anti%; 3-month moving average.
Stance & Sentiment — CBDC-BERT (3M MA)
CBDC-BERT (Zafar et al., 2024) — fine-tuned BERT classifiers applied to CBDC-related sentences from BIS speeches. Models: cbdc-bert-stance, cbdc-bert-sentiment.
Stance & Sentiment by Type — BERT (3M MA)
General
Retail CBDC
Wholesale CBDC
Average sentence-level Stance and Sentiment per speech type (BERT). 3-month MA.
Stance & Sentiment by Discourse — BERT (3M MA)
Feature
Process
Risk-Benefit
Average sentence-level Stance and Sentiment per discourse category (BERT). 3-month MA.