title: Statistical Analysis of the Exchange Rate of Bitcoin.
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.
authors.affiliation: School of Mathematics, University of Manchester, Manchester M13 9PL, United Kingdom.
authors.forename: Jeffrey
authors.initials: J
authors.lastname: Chu
authors.affiliation: School of Mathematics, University of Manchester, Manchester M13 9PL, United Kingdom.
authors.forename: Saralees
authors.initials: S
authors.lastname: Nadarajah
authors.affiliation: School of Mathematics, University of Manchester, Manchester M13 9PL, United Kingdom.
authors.forename: Stephen
authors.initials: S
authors.lastname: Chan
mesh_terms: D003132:Commerce / Q000191:economics* / Q000706:statistics & numerical data; D020407:Internet; D011336:Probability; D013223:Statistics as Topic