**2. Data**

Our data are chosen as follows. Our window of analysis ranges from 1 July 2019 to 14 February 2023. As of the final day of our analysis window, we drew the top 75 cryptocurrencies by market capitalization from Yahoo Finance [87], and restricted these to those with a price history dating back to 1 July 2019. This left 42 cryptocurrencies. We then discarded the two smallest, leaving *N* = 40 cryptocurrencies and their closing price data over *T* = 1325 days. The window of analysis includes periods of major disruption

for cryptocurrencies, such as the COVID-19 market crash in 2020, the BitMEX exchange market crash [88], and the collapse of the FTX exchange in late 2022 [89]. We divide the 40 remaining cryptocurrencies into 10 deciles each with four cryptocurrencies based on market capitalization as of the end of the analysis window. We list all cryptocurrencies analyzed in this paper in Table 1.

**Table 1.** Cryptocurrencies, their tickers and decile allocations

