Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)

The Statistics of Bitcoin and Cryptocurrencies

Authors
Joerg Osterrieder
Corresponding Author
Joerg Osterrieder
Available Online January 2017.
DOI
https://doi.org/10.2991/icefs-17.2017.33How to use a DOI?
Keywords
Bitcoin, Cryptocurrencies, Heavy-tailed distributions, generalized hyperbolic distribution
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, ÿwith 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.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Proceedings
2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
Part of series
Advances in Economics, Business and Management Research
Publication Date
January 2017
ISBN
978-94-6252-311-1
ISSN
2352-5428
DOI
https://doi.org/10.2991/icefs-17.2017.33How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Joerg Osterrieder
PY  - 2017/01
DA  - 2017/01
TI  - The Statistics of Bitcoin and Cryptocurrencies
BT  - 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
PB  - Atlantis Press
SP  - 285
EP  - 289
SN  - 2352-5428
UR  - https://doi.org/10.2991/icefs-17.2017.33
DO  - https://doi.org/10.2991/icefs-17.2017.33
ID  - Osterrieder2017/01
ER  -