Asset Pricing in Non-fungible Tokens and Big Data Analysis

PI: Prof. Chen Lin, HKU
Co-I: Dr. Yang You, HKU

Project Abstract: 

An NFT (Non-fungible token) is a non-interchangeable unit of data stored on a blockchain, often combined with digital files such as photos, music, films, and games. Since 2017, NFTs have raised public awareness and experienced enormous growth. However, there is limited research on NFT pricing and risk management, and our project fills the gap between research and practice.

We aggregate data from different NFT platforms and blockchains and create NFT benchmark indices to quantify investors’ sentiment and different types of risks (liquidity, frauds, bubble crash, etc.) Our research aims to tackle three issues:

1. We construct quantitative metrics for the rapidly-evolving NFT market.
2. This project aggregates NFT transaction data from different data sources and
compiles a comprehensive NFT database.
3. We use machine learning to construct NFT-specific factors and estimate asset
pricing models for NFTs.

The project will generate social impact in the following dimensions: Researchers can also benefit from the aggregated data to conduct NFT studies and cite the benchmark indices. NFT creators can use the data to assess the market condition. Our research enables investors to construct their portfolios efficiently and mitigate investment risk.