With the new update there are new artefacts to collect and usually there is a reward for collecting them all (e.g. a hat) but for the new frozen artefacts I have collected them all but haven't seen anything new to get?
For the January 11th 2016 update, to version 1.19.2, they added a hat for the Frozen Artifact collection reward, according to the What's New:
Added missing Hat for collecting all Frozen artifacts
And indeed, it is available. It didn't appear right away for me, but after getting additional artifacts I got the customary "You have earned a new hat, do you want to wear it now?" message.
Seems like there's no hat reward. I've collected all the frozen artifacts and also did not receive a hat like I did when I collected all the christmas artifacts (ie. christmas hat).