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https://doi.org/10.21256/zhaw-4793| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | A statistical analysis of cryptocurrencies |
| Autor/-in: | Chan, Stephen Chu, Jeffrey Nadarajah, Saralees Osterrieder, Jörg |
| DOI: | 10.21256/zhaw-4793 10.3390/jrfm10020012 |
| Erschienen in: | Journal of Risk and Financial Management |
| Band(Heft): | 10 |
| Heft: | 12 |
| Erscheinungsdatum: | 2017 |
| Verlag / Hrsg. Institution: | MDPI |
| ISSN: | 1911-8066 1911-8074 |
| Sprache: | Englisch |
| Schlagwörter: | Fintech; Bitcoin; Exchange rates; Cryptocurrencies |
| Fachgebiet (DDC): | 332: Finanzwirtschaft |
| Zusammenfassung: | 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 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | CC BY 4.0: Namensnennung 4.0 International |
| Departement: | School of Engineering |
| Organisationseinheit: | Institut für Datenanalyse und Prozessdesign (IDP) |
| Enthalten in den Sammlungen: | Publikationen School of Engineering |
Dateien zu dieser Ressource:
| Datei | Beschreibung | Größe | Format | |
|---|---|---|---|---|
| 2017_A_statistical_analysis_of_cryptocurrencies_jrfm-10-00012.pdf | 1.15 MB | Adobe PDF |  Öffnen/Anzeigen |
Zur Langanzeige
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.
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