Recently, I have received many mixed resumes. To improve effectiveness and efficiency, I will first present a basic interview question on multi-factor quantitative analysis. Please send your answers directly to me via private message, and then we will proceed to the resume screening stage. Thank you for your understanding. 🙏

Please design three indicators similar to the Fama-French factors based on the characteristics of the cryptocurrency market to explain cryptocurrency returns. Each factor must meet the following requirements:

• Describe the meaning of the factor and its theoretical basis (similar to SMB, HML, etc.).

• Provide the calculation formula or pseudocode for the factor.

• Explain how to collect the data needed to calculate the factor in the cryptocurrency market.

Hints:

• You may consider on-chain data (such as trading volume, number of addresses, on-chain activity, etc.) or market data (such as market capitalization, volatility, price momentum characteristics, etc.) or social sentiment features (NLP-extracted social sentiment scores, such as the rate of change in tweet sentiment scores).

We hope you can:

1️⃣ Reasonably discuss the differences between the cryptocurrency market and traditional financial markets, and how these differences affect the design and applicability of factor models.

2️⃣ Propose innovative factors (such as on-chain activity factors, token distribution factors, social sentiment factors) or extended factors that combine the characteristics of DeFi and NFT markets.

3️⃣ Use modern tools (such as Python's statsmodels or sklearn) to implement the code and conduct an in-depth analysis of the results.

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