ANALYSING DIFFERENT FREQUENCIES OF BITCOIN TIMESERIES

摘要：

　　At least since the first Bitcoin futures were launched in December 2017,quantitative risk management on Bitcoin is no longer indispensable.This paper provides methodology and fundamental findings on approximations of intraday bitcoin returns through both symmetric and non-symmetric probability distributions.Different time frequencies of Bitcoin returns were analysed,and their non-Normal behaviour is shown.Their exchange rates versus the US Dollar,between April 14,2017 until August 7,2017,were considered by fitting parametric distributions to them.The nonnormality changes with the size of the timesteps,where standard heavy-tailed distributions give good fits of the data.These results are a first attempt to characterize intraday risk of the Bitcoin.

关键词： Bitcoin Quantitative Risk Management Probability Distributions

作者: Richard Eberle

作者单位: Institute of Applied Information Technology(InIT),Zurich University of Applied Sciences(ZHAW),Steinberggasse 13,8400 Winterthur,Switzerland

会议类型: 国际会议

会议名称: 2018 International Conference on E-Business, Information Management and Computer Science(2018年电子商务、信息管理与计算机科学国际会议)

会议地点: 香港

会议语种:英文

页码: 90-92

在线出版日期: 2018-04-14（万方平台首次上网日期，不代表论文的发表时间）