Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-4794
Title: The statistics of bitcoin and cryptocurrencies
Authors : Osterrieder, Jörg
Proceedings: 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
Conference details: 2017 International Conference on Economics, Finance and Statistics, Hong Kong, 14-15 January 2017
Publisher / Ed. Institution : Atlantis Press
Issue Date: 2017
License (according to publishing contract) : CC BY-NC 4.0: Attribution - Non commercial 4.0 International
Series : Advances in Economics, Business and Management Research (AEBMR)
Series volume: 26
Type of review: Peer review (publication)
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.
Departement: School of Engineering
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Publication type: Conference paper
DOI : 10.21256/zhaw-4794
10.2991/icefs-17.2017.33
ISBN: 978-94-6252-311-1
ISSN: 2352-5428
URI: https://digitalcollection.zhaw.ch/handle/11475/15966
Appears in Collections:Publikationen School of Engineering

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