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Statistical Analysis of the Exchange Rate of Bitcoin

Author

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  • Jeffrey Chu
  • Saralees Nadarajah
  • Stephen Chan

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.

Suggested Citation

  • Jeffrey Chu & Saralees Nadarajah & Stephen Chan, 2015. "Statistical Analysis of the Exchange Rate of Bitcoin," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-27, July.
    • Handle: RePEc:plo:pone00:0133678
    DOI: 10.1371/journal.pone.0133678
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    References listed on IDEAS

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