Statistical Analysis of the Exchange Rate of Bitcoin

被引：97
作者：
Chu, Jeffrey [1 ]
Nadarajah, Saralees [1 ]
Chan, Stephen [1 ]
机构：
[1] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England
来源：
PLOS ONE | 2015年 / 10卷 / 07期
基金：
英国工程与自然科学研究理事会;
关键词：
BID-ASK SPREAD; MODEL SELECTION; DISTRIBUTIONS; VOLATILITY; COMPONENTS; REGRESSION;
D O I：
10.1371/journal.pone.0133678
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
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.
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页数：27
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