Statistical Analysis of the Exchange Rate of Bitcoin

Jeffrey Chu, Saralees Nadarajah and Stephen Chan

PLOS ONE, 2015, vol. 10, issue 7, 1-27

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.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0133678

DOI: 10.1371/journal.pone.0133678

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