Market Efficiency in a Changing Asset Population: Mobility, Entry, and Survival over Cryptocurrency's Full History

Paper: arXiv 2610.23283

Authors: Antonis Ballis, Christos Ioannidis

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.

Complexity vs Empirical Score

• Math Complexity: 7.5/10
• Empirical Rigor: 6.0/10 (capped from 8.5: no out-of-sample test; see penalty flags)
• Quadrant: Holy Grail — high math complexity, high empirical rigor

Why this score: This paper demonstrates a strong blend of advanced mathematical modeling, particularly with Markov chains and symmetry restrictions, and robust empirical testing on a comprehensive cryptocurrency dataset. Its novel approach to market efficiency in a dynamic asset population, coupled with detailed findings on the non-tradable nature of anomalies, makes it a significant contribution. The overall quality is high due to the rigorous methodology and insightful conclusions.

Research Flowchart

  flowchart TD
    A[Research Goal: Assess Market Efficiency in Changing Crypto Population] --> B{Methodology: Test Weak-Form Efficiency via Markov Chain Symmetry};
    B --> C[Data: 8,970 Crypto Assets, 690 Weekly Cross-sections, 2013-2026];
    C --> D[Process: Observe Entry, Exit, Survival; Analyze Movement Across Capitalization Distribution];
    D --> E{Outcome 1: Symmetry Rejected in Every Era};
    E --> F{Outcome 2: Asymmetry Falls 70%, Driven by Entry-Driven Churn};
    F --> G{Outcome 3: Bottom Decile Paper Gains (27.5%/week) vs. No Gains in Traded Assets (Capacity $293k)};
    G --> H[Conclusion: Compensation for Neglect Exists Where Trading Does Not];