NDLI: A Statistical Analysis of Cryptocurrencies

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A Statistical Analysis of Cryptocurrencies

Content Provider	Scilit
Author	Osterrieder, Joerg Chan, Stephen Chu, Jeffrey Nadarajah, Saralees
Copyright Year	2017
Description	Journal: SSRN Electronic Journal We show the statistical properties of the most important cryptocurrencies, 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 (determined by market capitalization) the Normal inverse Gaussian distribution, Generalized t distribution, and Laplace distributions give good fits. The results are important for investment and risk management purposes.
Related Links	https://digitalcollection.zhaw.ch/bitstream/11475/15943/2/2017_A_statistical_analysis_of_cryptocurrencies_jrfm-10-00012.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2948315
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.2948315
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2017-04-07
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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