The Statistics of Bitcoin and Cryptocurrencies

12 Pages Posted: 18 Nov 2016 Last revised: 25 Dec 2018

See all articles by Joerg Osterrieder

Joerg Osterrieder

Zurich University of Applied Sciences

Date Written: October 10, 2016

Abstract

We show the statistical properties of the most important cryptocurrencies, 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, with standard heavy-tailed distributions giving good descriptions of the data. The results are important for investment and risk management purposes.

Keywords: Bitcoin, Cryptocurrency, Statistics, Parametric Distributions

JEL Classification: C00, C1, E4, E5, G1, G2, G00

Suggested Citation

Osterrieder, Joerg, The Statistics of Bitcoin and Cryptocurrencies (October 10, 2016). Available at SSRN: https://ssrn.com/abstract=2872158 or http://dx.doi.org/10.2139/ssrn.2872158

Joerg Osterrieder (Contact Author)

Zurich University of Applied Sciences ( email )

Economics and Finance
Technikumstrasse 9
Winterthur, 8401
Switzerland

HOME PAGE: http://www.zhaw.ch

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