To address the need for reporting and disclosure of cryptocurrency holdings in compliance with the FASB guidance for the use of fair value measurements for cryptocurrency (FASB, 2023), this paper develops a modeling process for reporting entities to measure the market value of cryptocurrencies with limited or no observable transactions. In this valuation model, we consider the last observable market information with time decay, its comparable assets market index, and dynamic real-time market participants’ sentiment and attention. Notably, the application of exogenous variables allows us to maximize the observable inputs in measuring fair value, such as asset classification based on economic traits and market participants’ attention and sentiment measurement with online media textual analytics. We propose a valuation framework and construct a prediction model that can achieve a prediction accuracy of 87 % on target asset resurging prices.

中文翻译：

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非流动性加密货币的公允价值估计


为了满足按照 FASB 关于使用加密货币公允价值计量的指南（FASB，2023）报告和披露加密货币持有量的需求，本文开发了一个建模流程，供报告实体在有限的情况下衡量加密货币的市场价值。或没有可观察到的交易。在这个估值模型中，我们考虑了随时间衰减的最后可观察的市场信息、其可比资产市场指数以及动态的实时市场参与者的情绪和注意力。值得注意的是，外生变量的应用使我们能够最大化衡量公允价值的可观察输入，例如基于经济特征的资产分类以及通过在线媒体文本分析来衡量市场参与者的注意力和情绪。我们提出了估值框架并构建了预测模型，对目标资产复苏价格的预测准确率可以达到87%。