Please use this identifier to cite or link to this item:
https://doi.org/10.21256/zhaw-4793
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chan, Stephen | - |
dc.contributor.author | Chu, Jeffrey | - |
dc.contributor.author | Nadarajah, Saralees | - |
dc.contributor.author | Osterrieder, Jörg | - |
dc.date.accessioned | 2019-03-08T14:12:39Z | - |
dc.date.available | 2019-03-08T14:12:39Z | - |
dc.date.issued | 2017 | - |
dc.identifier.issn | 1911-8066 | de_CH |
dc.identifier.issn | 1911-8074 | de_CH |
dc.identifier.uri | https://digitalcollection.zhaw.ch/handle/11475/15943 | - |
dc.description.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 US 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, whilst 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. | de_CH |
dc.language.iso | en | de_CH |
dc.publisher | MDPI | de_CH |
dc.relation.ispartof | Journal of Risk and Financial Management | de_CH |
dc.rights | http://creativecommons.org/licenses/by/4.0/ | de_CH |
dc.subject | Fintech | de_CH |
dc.subject | Bitcoin | de_CH |
dc.subject | Exchange rates | de_CH |
dc.subject | Cryptocurrencies | de_CH |
dc.subject.ddc | 332: Finanzwirtschaft | de_CH |
dc.title | A statistical analysis of cryptocurrencies | de_CH |
dc.type | Beitrag in wissenschaftlicher Zeitschrift | de_CH |
dcterms.type | Text | de_CH |
zhaw.departement | School of Engineering | de_CH |
zhaw.organisationalunit | Institut für Datenanalyse und Prozessdesign (IDP) | de_CH |
dc.identifier.doi | 10.21256/zhaw-4793 | - |
dc.identifier.doi | 10.3390/jrfm10020012 | de_CH |
zhaw.funding.eu | No | de_CH |
zhaw.issue | 12 | de_CH |
zhaw.originated.zhaw | Yes | de_CH |
zhaw.publication.status | publishedVersion | de_CH |
zhaw.volume | 10 | de_CH |
zhaw.publication.review | Peer review (Publikation) | de_CH |
zhaw.webfeed | FinTech | de_CH |
Appears in collections: | Publikationen School of Engineering |
Files in This Item:
File | Description | Size | Format | |
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2017_A_statistical_analysis_of_cryptocurrencies_jrfm-10-00012.pdf | 1.15 MB | Adobe PDF | View/Open |
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Chan, S., Chu, J., Nadarajah, S., & Osterrieder, J. (2017). A statistical analysis of cryptocurrencies. Journal of Risk and Financial Management, 10(12). https://doi.org/10.21256/zhaw-4793
Chan, S. et al. (2017) ‘A statistical analysis of cryptocurrencies’, Journal of Risk and Financial Management, 10(12). Available at: https://doi.org/10.21256/zhaw-4793.
S. Chan, J. Chu, S. Nadarajah, and J. Osterrieder, “A statistical analysis of cryptocurrencies,” Journal of Risk and Financial Management, vol. 10, no. 12, 2017, doi: 10.21256/zhaw-4793.
CHAN, Stephen, Jeffrey CHU, Saralees NADARAJAH und Jörg OSTERRIEDER, 2017. A statistical analysis of cryptocurrencies. Journal of Risk and Financial Management. 2017. Bd. 10, Nr. 12. DOI 10.21256/zhaw-4793
Chan, Stephen, Jeffrey Chu, Saralees Nadarajah, and Jörg Osterrieder. 2017. “A Statistical Analysis of Cryptocurrencies.” Journal of Risk and Financial Management 10 (12). https://doi.org/10.21256/zhaw-4793.
Chan, Stephen, et al. “A Statistical Analysis of Cryptocurrencies.” Journal of Risk and Financial Management, vol. 10, no. 12, 2017, https://doi.org/10.21256/zhaw-4793.
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