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https://doi.org/10.21256/zhaw-4794| Publication type: | Conference paper |
| Type of review: | Peer review (publication) |
| Title: | The statistics of bitcoin and cryptocurrencies |
| Authors: | Osterrieder, Jörg |
| DOI: | 10.21256/zhaw-4794 10.2991/icefs-17.2017.33 |
| Proceedings: | 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017) |
| Conference details: | 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017), Hong Kong, 14-15 January 2017 |
| Issue Date: | 2017 |
| Series: | Advances in Economics, Business and Management Research (AEBMR) |
| Series volume: | 26 |
| Publisher / Ed. Institution: | Atlantis Press |
| ISBN: | 978-94-6252-311-1 |
| ISSN: | 2352-5428 |
| Language: | English |
| Subjects: | Heavy-tailed; Bitcoin; Cryptocurrency; Statistics |
| Subject (DDC): | 332: Financial economics |
| Abstract: | Cryptocurrencies became popular with the emergence of Bitcoin and have shown an unprecedented growth over the last few years. As of November 2016, more than 720 cryptocurrencies exist, with Bitcoin still being the most popular one. We show the statistical properties of the most important cryptocurrencies. We characterize their exchange rates versus the US Dollar by fitting parametric distributions to them, including the Student t distribution, the generalized hyperbolic distribution as well as the asymmetric normal inverse Gaussian and the asymmetric variance gamma distribution. Our findings show that cryptocurrencies exhibit strong non-normal characteristics, with standard heavy-tailed distributions such as the Student t distribution giving good descriptions of the data. This is the first study that looks at the parametric distribution of cryptocurreny returns. The results are important for investment and risk management purposes. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/15966 |
| Fulltext version: | Published version |
| License (according to publishing contract): | CC BY-NC 4.0: Attribution - Non commercial 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_Osterrieder_The statistics of bitcoin and cryptocurrencies.pdf | 1.24 MB | Adobe PDF |  View/Open |
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Osterrieder, J. (2017). The statistics of bitcoin and cryptocurrencies. 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017). https://doi.org/10.21256/zhaw-4794
Osterrieder, J. (2017) ‘The statistics of bitcoin and cryptocurrencies’, in 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017). Atlantis Press. Available at: https://doi.org/10.21256/zhaw-4794.
J. Osterrieder, “The statistics of bitcoin and cryptocurrencies,” in 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017), 2017. doi: 10.21256/zhaw-4794.
OSTERRIEDER, Jörg, 2017. The statistics of bitcoin and cryptocurrencies. In: 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017). Conference paper. Atlantis Press. 2017. ISBN 978-94-6252-311-1
Osterrieder, Jörg. 2017. “The Statistics of Bitcoin and Cryptocurrencies.” Conference paper. In 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017). Atlantis Press. https://doi.org/10.21256/zhaw-4794.
Osterrieder, Jörg. “The Statistics of Bitcoin and Cryptocurrencies.” 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017), Atlantis Press, 2017, https://doi.org/10.21256/zhaw-4794.
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