比特币汇率的统计分析

Chu Jeffrey, Nadarajah Saralees, Chan Stephen

School of Mathematics, University of Manchester, Manchester M13 9PL, United Kingdom.

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。