Statistical Analysis of the Exchange Rate of Bitcoin.
Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The gener...
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| Format: | Article |
| Language: | English |
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Public Library of Science (PLoS)
2015-01-01
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| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0133678 |
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doaj-15bf778e2c4546e5bace613a1857db6f2021-03-03T20:00:20ZengPublic Library of Science (PLoS)PLoS ONE1932-62032015-01-01107e013367810.1371/journal.pone.0133678Statistical Analysis of the Exchange Rate of Bitcoin.Jeffrey ChuSaralees NadarajahStephen ChanBitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. Predictions are given for future values of the exchange rate.https://doi.org/10.1371/journal.pone.0133678 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Jeffrey Chu Saralees Nadarajah Stephen Chan |
| spellingShingle |
Jeffrey Chu Saralees Nadarajah Stephen Chan Statistical Analysis of the Exchange Rate of Bitcoin. PLoS ONE |
| author_facet |
Jeffrey Chu Saralees Nadarajah Stephen Chan |
| author_sort |
Jeffrey Chu |
| title |
Statistical Analysis of the Exchange Rate of Bitcoin. |
| title_short |
Statistical Analysis of the Exchange Rate of Bitcoin. |
| title_full |
Statistical Analysis of the Exchange Rate of Bitcoin. |
| title_fullStr |
Statistical Analysis of the Exchange Rate of Bitcoin. |
| title_full_unstemmed |
Statistical Analysis of the Exchange Rate of Bitcoin. |
| title_sort |
statistical analysis of the exchange rate of bitcoin. |
| publisher |
Public Library of Science (PLoS) |
| series |
PLoS ONE |
| issn |
1932-6203 |
| publishDate |
2015-01-01 |
| description |
Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. Predictions are given for future values of the exchange rate. |
| url |
https://doi.org/10.1371/journal.pone.0133678 |
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