On modeling the log-returns of Bitcoin and Ethereum prices against the USA Dollar

被引：1

作者：

Kamal, Mustafa ^{[1
]}

Siddiqui, Sabir Ali ^{[2
]}

Nayabuddin ^{[3
]}

Alrashidi, Afaf ^{[4
]}

Helmi, Maha M. ^{[5
]}

Aljohani, Hassan M. ^{[5
]}

Al Mutairi, Aned ^{[7
]}

AlKhairy, Ibrahim ^{[6
]}

Hussam, Eslam ^{[8
]}

Yusuf, M. ^{[9
]}

Difalla, Samhi Abdelaty ^{[8
,10
]}

机构：

[1] Saudi Elect Univ, Coll Sci, Dept Basic Sci & Theoret Studies, Dammam 32256, Saudi Arabia

[2] Dhofar Univ, Coll Arts & Appl Sci, Dept Math & Sci, Salalah, Oman

[3] Jazan Univ, Coll Publ Hlth & Trop Med, Dept Epidemiol, Jazan, Saudi Arabia

[4] Univ Tabuk, Fac Sci, Dept Stat, Tabuk, Saudi Arabia

[5] Taif Univ, Coll Sci, Dept Math & Stat, POB 11099, Taif 21944, Saudi Arabia

[6] Umm Al Qura Univ, Al Qunfudah Univ Coll, Dept Math, Mecca, Saudi Arabia

[7] Princess Nourah Bint Abdulrahman Univ, Coll Sci, Dept Math Sci, POB 84428, Riyadh 11671, Saudi Arabia

[8] Prince Sattam bin Abdulaziz Univ, Coll Business Adm Hawtat bani Tamim, Dept Accounting, Al Kharj, Saudi Arabia

[9] Helwan Univ, Fac Sci, Dept Math, Cairo, Egypt

[10] Helwan Univ, Fac Commerce & Business Adm, Dept Accounting, Helwan, Egypt

来源：

ALEXANDRIA ENGINEERING JOURNAL | 2024年 / 87卷

关键词：

Logistic distribution; Cotangent function; Cryptocurrency; Statistical modeling;

D O I：

10.1016/j.aej.2023.11.080

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

The study and investigation of the behavior of monetary phenomena is an interesting subject for actuaries and practitioners. In the recent age and development in the monetary and financial phenomena, cryptocurrency has gained much attention from actuaries. Over the past decade, several research studies have emerged on modeling and forecasting cryptocurrency exchange rates. This paper also contributes to the modeling of cryptocurrency exchange rates using a new version of the Logistic distribution, namely, a new cotangent -Logistic distribution. The mathematical properties and estimators of the new cotangent -logistic distribution's parameters are obtained. We illustrate the new cotangent -Logistic distribution using two financial data sets representing the log -returns of the Bitcoin and Ethereum prices. We compare the new cotangent -Logistic distribution with the baseline Logistic distribution and its modified version. Using the p -value and three other statistical tests, we show that the new cotangent -Logistic distribution repeatedly provides the optimal fit to cryptocurrency exchange rates.

引用

页码：340 / 349

页数：10

共 5 条

[1] On modeling the log-returns of Bitcoin and Ethereum prices against the USA Dollar
Kamal, Mustafa
Siddiqui, Sabir Ali
Nayabuddin
Alrashidi, Afaf
Helmi, Maha M.
Aljohani, Hassan M.
Mutairi, Aned Al
AlKhairy, Ibrahim
Hussam, Eslam
Yusuf, M.
Difalla, Samhi Abdelaty
Alexandria Engineering Journal, 2024, 87 : 340 - 349
[2] On fitting and forecasting the log-returns of Bitcoin and Ethereum exchange rates via a new sine-based logistic model and robust regression methods
Zhao, Yiming
Salem, Sultan
AL-Zaydi, Areej M.
Seong, Jin-Taek
Alghamdi, Fatimah M.
Yusuf, M.
ALEXANDRIA ENGINEERING JOURNAL, 2024, 96 : 225 - 236
[3] Multivariate generalized hyperbolic laws for modeling financial log-returns: Empirical and theoretical considerations
Fotopoulos, Stergios B.
Paparas, Alex
Jandhyala, Venkata K.
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2020, 36 (05) : 757 - 775
[4] A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log-returns
Barreto-Souza, Wagner
Silva, Rodrigo B.
STATISTICA NEERLANDICA, 2019, 73 (02) : 211 - 233
[5] Modeling Bitcoin plus Ethereum as an Open System of Systems of Public Blockchains to Improve Their Resilience against Intentional Risk
Partida, Alberto
Gerassis, Saki
Criado, Regino
Romance, Miguel
Giraldez, Eduardo
Taboada, Javier
ELECTRONICS, 2022, 11 (02)

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