ANALYSING DIFFERENT FREQUENCIES OF BITCOIN TIMESERIES
Journal Title: Topics in Economics, Business and Management (EBM) - Year 2018, Vol 2, Issue 1
Abstract
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 non-normality 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
Authors and Affiliations
Richard Eberle
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