Name of Quantlet: DEDAcryptoBasket

Published in: DEDA-Seminar_Courselet

Description: Construction and visualization of a CRIX-style cryptocurrency basket index using Python. The Quantlet builds a basket-level crypto index from selected cryptocurrency assets, computes log returns, and generates figures for basket performance and crypto exposure correlation analysis.

Keywords: cryptocurrency, crypto index, CRIX-style index, basket construction, log returns, market exposure, correlation, financial econometrics, Python, data visualization

Author: Kewen FAN

Submitted: Kewen FAN, 2026-05-10

Datafile: basket_index.csv

Input: The input file contains the constructed cryptocurrency basket index and return data used for basket-level performance and exposure analysis.

Output: The Quantlet generates two output figures showing basket returns during a Bitcoin market event and crypto exposure correlation patterns.

Example: fig_01_basket_returns_during_btc_crash.png, fig_02_crypto_exposure_correlation.png