Please use this identifier to cite or link to this item:
https://doi.org/10.21256/zhaw-4793| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | A statistical analysis of cryptocurrencies |
| Authors: | Chan, Stephen Chu, Jeffrey Nadarajah, Saralees Osterrieder, Jörg |
| DOI: | 10.21256/zhaw-4793 10.3390/jrfm10020012 |
| Published in: | Journal of Risk and Financial Management |
| Volume(Issue): | 10 |
| Issue: | 12 |
| Issue Date: | 2017 |
| Publisher / Ed. Institution: | MDPI |
| ISSN: | 1911-8066 1911-8074 |
| Language: | English |
| Subjects: | Fintech; Bitcoin; Exchange rates; Cryptocurrencies |
| Subject (DDC): | 332: Financial economics |
| 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 US 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, whilst 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. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/15943 |
| Fulltext version: | Published version |
| License (according to publishing contract): | CC BY 4.0: Attribution 4.0 International |
| Departement: | School of Engineering |
| Organisational Unit: | Institute of Data Analysis and Process Design (IDP) |
| Appears in collections: | Publikationen School of Engineering |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2017_A_statistical_analysis_of_cryptocurrencies_jrfm-10-00012.pdf | 1.15 MB | Adobe PDF |  View/Open |
Show full item record
Chan, S., Chu, J., Nadarajah, S., & Osterrieder, J. (2017). A statistical analysis of cryptocurrencies. Journal of Risk and Financial Management, 10(12). https://doi.org/10.21256/zhaw-4793
Chan, S. et al. (2017) ‘A statistical analysis of cryptocurrencies’, Journal of Risk and Financial Management, 10(12). Available at: https://doi.org/10.21256/zhaw-4793.
S. Chan, J. Chu, S. Nadarajah, and J. Osterrieder, “A statistical analysis of cryptocurrencies,” Journal of Risk and Financial Management, vol. 10, no. 12, 2017, doi: 10.21256/zhaw-4793.
CHAN, Stephen, Jeffrey CHU, Saralees NADARAJAH und Jörg OSTERRIEDER, 2017. A statistical analysis of cryptocurrencies. Journal of Risk and Financial Management. 2017. Bd. 10, Nr. 12. DOI 10.21256/zhaw-4793
Chan, Stephen, Jeffrey Chu, Saralees Nadarajah, and Jörg Osterrieder. 2017. “A Statistical Analysis of Cryptocurrencies.” Journal of Risk and Financial Management 10 (12). https://doi.org/10.21256/zhaw-4793.
Chan, Stephen, et al. “A Statistical Analysis of Cryptocurrencies.” Journal of Risk and Financial Management, vol. 10, no. 12, 2017, https://doi.org/10.21256/zhaw-4793.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.