比特币汇率的统计分析
Statistical Analysis of the Exchange Rate of Bitcoin.
作者信息
Chu Jeffrey, Nadarajah Saralees, Chan Stephen
机构信息
School of Mathematics, University of Manchester, Manchester M13 9PL, United Kingdom.
出版信息
PLoS One. 2015 Jul 29;10(7):e0133678. doi: 10.1371/journal.pone.0133678. eCollection 2015.
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.
比特币作为首个电子支付系统，正日益成为一种流行的货币。我们对比特币与美元汇率的对数收益率进行了统计分析。将金融领域15种最常用的参数分布应用于该对数收益率。结果表明，广义双曲线分布拟合效果最佳。同时给出了汇率未来值的预测。
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