Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178592
Authors: 
Chan, Stephen
Chu, Jeffrey
Nadarajah, Saralees
Osterrieder, Joerg
Year of Publication: 
2017
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 10 [Year:] 2017 [Issue:] 2 [Pages:] 1-23
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 U.S. 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, while 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.
Subjects: 
exchange rate
distributions
blockchain
Bitcoin
JEL: 
C1
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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