Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-4793
Title: A statistical analysis of cryptocurrencies
Authors : Chan, Stephen
Chu, Jeffrey
Nadarajah, Saralees
Osterrieder, Jörg
Published in : Journal of Risk and Financial Management
Volume(Issue) : 10
Issue : 12
Publisher / Ed. Institution : MDPI
Issue Date: 2017
License (according to publishing contract) : CC BY 4.0: Attribution 4.0 International
Type of review: Peer review (Publication)
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.
Departement: School of Engineering
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Publication type: Article in scientific Journal
DOI : 10.3390/jrfm10020012
10.21256/zhaw-4793
ISSN: 1911-8066
1911-8074
URI: https://digitalcollection.zhaw.ch/handle/11475/15943
Appears in Collections:Publikationen School of Engineering

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