a statistical analysis of cryptocurrencies

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ID: 175751
2017
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Abstract
We analyze statistical properties of the largest cryptocurrencies (determined by market capitalization), of which Bitcoin is the most prominent example. We characterize their exchange rates versus the U.S. Dollar by fitting parametric distributions to them. It is shown that returns are clearly non-normal, however, no single distribution fits well jointly to all the cryptocurrencies analysed. We find that for the most popular currencies, such as Bitcoin and Litecoin, the generalized hyperbolic distribution gives the best fit, while for the smaller cryptocurrencies the normal inverse Gaussian distribution, generalized t distribution, and Laplace distribution give good fits. The results are important for investment and risk management purposes.
Reference Key
chan2017journala Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Stephen Chan;Jeffrey Chu;Saralees Nadarajah;Joerg Osterrieder
Journal Resuscitation
Year 2017
DOI
10.3390/jrfm10020012
URL
http://www.mdpi.com/1911-8074/10/2/12
Keywords
Exchange rate blockchain

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