The Statistics of Bitcoin and Cryptocurrencies
12 Pages Posted: 18 Nov 2016 Last revised: 25 Dec 2018
Date Written: October 10, 2016
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: Suggested Citation