TY - JOUR
T1 - The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies
T2 - Ethereum and its financial risk
AU - Zhang, Yuanyuan
AU - Chu, Jeffrey
AU - Chan, Stephen
AU - Chan, Brandon
PY - 2019/7/15
Y1 - 2019/7/15
N2 - Ethereum was the first decentralised platform to support smart contracts. It has attracted significant publicity and captured the interests of a wide range of institutions, enthusiasts and even world leaders. We have analysed the market price index for all exchanges trading in Ethereum versus three global currencies, the Korean Won; Euro; US Dollar; Bitcoin, and the Global Price Index for Ethereum, through the fitting of the Generalised Hyperbolic distributions and its subclasses. Our results show that returns are clearly non-normal and the Generalised Hyperbolic and its subset of distributions fit well jointly for all of the indices. We also analyse the long term memory effect for the returns of Ether, compare the Value at Risk and Expected Shortfall based on historical Ether data and other financial instruments, and backtesting was also performed to test the extreme tails.
AB - Ethereum was the first decentralised platform to support smart contracts. It has attracted significant publicity and captured the interests of a wide range of institutions, enthusiasts and even world leaders. We have analysed the market price index for all exchanges trading in Ethereum versus three global currencies, the Korean Won; Euro; US Dollar; Bitcoin, and the Global Price Index for Ethereum, through the fitting of the Generalised Hyperbolic distributions and its subclasses. Our results show that returns are clearly non-normal and the Generalised Hyperbolic and its subset of distributions fit well jointly for all of the indices. We also analyse the long term memory effect for the returns of Ether, compare the Value at Risk and Expected Shortfall based on historical Ether data and other financial instruments, and backtesting was also performed to test the extreme tails.
KW - Backtesting
KW - Cryptocurrencies
KW - Generalised hyperbolic
KW - Risk measures
KW - Statistics
UR - http://www.scopus.com/inward/record.url?scp=85064314490&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2019.04.136
DO - 10.1016/j.physa.2019.04.136
M3 - Article
AN - SCOPUS:85064314490
SN - 0378-4371
VL - 526
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
M1 - 120900
ER -