Statistical Analysis of the Exchange Rate of Bitcoin
نویسندگان
چکیده
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.
منابع مشابه
The Future of Bitcoin as a Tool for Financial Development
The purpose of research is focused on the insight into the future of Bitcoin on the financial situation, its implications and challenges. The problem of study is to investigate how to deal with a new type of digital currencies (such Bitcoin) that does not have a physical presence and there is no specific body to issue. Thus, this study aims to identify the nature of Bitcoin currency and what ar...
متن کاملStudy and Research on the Six-Year Process of Bitcoin Price and Return
The purpose of this study, is create a challenge and discussion concerning the existence of information about the Bitcoin price and return, which suggests the relationship of information and the strong performance it. The information trends are available at different time periods and the summary data related to the statistical descriptions for the price and return index are also discussed. In t...
متن کاملIn Which Distributed Ledger Do We Trust? A Comparative Analysis Of Cryptocurrencies
This study provides a comparative financial and statistical analysis between the largest and most traded cryptocurrencies. In particular, the exchange rates of Bitcoin, Litecoin, Ripple and Ethereum were collected from August 2010 until May 2017. The raw annualized volatility of cryptocurrencies is compared as well as to fiat currencies and major exchange rates. The results show that Bitcoin is...
متن کاملNoncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rate
This paper introduces a noncausal autoregressive process with Cauchy errors in application to the exchange rates of the Bitcoin electronic currency against the US Dollar. The dynamics of the daily Bitcoin/USD exchange rate series displays episodes of local trends, which can be modelled and interpreted as speculative bubbles. The bubbles may result from the speculative component in the on-line t...
متن کاملRejecting the arguments of the sanctity of bitcoin mining and proving its legitimacy by Reward Contract (Joaleh)
Bitcoin soon attracted the attention of experts and the general public around the world, including the Islamic community. Due to the novelty of the subject, although little research has been done to examine the legitimacy of bitcoin mining from the perspective of Muslim thinkers, this paper is responsible for examining two reasons in the research of contemporary Sunni thinkers. The two reasons ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره 10 شماره
صفحات -
تاریخ انتشار 2015