Statistical Analysis of the Exchange Rate of Bitcoin

Jeffrey Chu; Saraleesan Nadarajah; Stephen Chan

doi:10.1371/journal.pone.0133678

Statistical Analysis of the Exchange Rate of Bitcoin

Jeffrey Chu, Saraleesan Nadarajah, Stephen Chan

Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Number of pages	27
Journal	P L o S One
Volume	10
Issue number	7
DOIs	https://doi.org/10.1371/journal.pone.0133678 https://doi.org/10.1371/journal.pone.0133678
Publication status	Published - 29 Jul 2015

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Statistical Analysis of the Exchange Rate of Bitcoin

Abstract

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