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Statistical analysis of bitcoin during explosive behavior periods
This paper develops the ability of the normal inverse Gaussian distribution (NIG) to fit the returns of bitcoin (BTC). As the first cryptocurrency created, the behavior of this new asset is characterized by great volatility. The lack of a proper definition or classification under existing theory exa...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2019
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6430404/ https://www.ncbi.nlm.nih.gov/pubmed/30901371 http://dx.doi.org/10.1371/journal.pone.0213919 |
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author | Núñez, José Antonio Contreras-Valdez, Mario I. Franco-Ruiz, Carlos A. |
author_facet | Núñez, José Antonio Contreras-Valdez, Mario I. Franco-Ruiz, Carlos A. |
author_sort | Núñez, José Antonio |
collection | PubMed |
description | This paper develops the ability of the normal inverse Gaussian distribution (NIG) to fit the returns of bitcoin (BTC). As the first cryptocurrency created, the behavior of this new asset is characterized by great volatility. The lack of a proper definition or classification under existing theory exacerbates this property in such a way that explosive periods followed by a rapid decline have been observed along the series, meaning bubble episodes. By detecting the periods in which a bubble rises and collapses, it is possible to study the statistical properties of such segments. In particular, adjusting a theoretical distribution may help to determine better strategies to hedge against these episodes. The NIG is an appropriate candidate not only because of its heavy-tailed property but also because it has been proven to be closed under convolution, a characteristic that can be implemented to measure multivariate value at risk. Using data on the price of BTC with respect to seven of the main global currencies, the NIG was able to fit every time segment despite the bubble behavior. In the out-of-sample tests, the NIG was proven to have an adjustment similar to that of a generalized hyperbolic (GH) distribution. This result could serve as a starting point for future studies regarding the statistical properties of cryptocurrencies as well as their multivariate distributions. |
format | Online Article Text |
id | pubmed-6430404 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2019 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-64304042019-04-01 Statistical analysis of bitcoin during explosive behavior periods Núñez, José Antonio Contreras-Valdez, Mario I. Franco-Ruiz, Carlos A. PLoS One Research Article This paper develops the ability of the normal inverse Gaussian distribution (NIG) to fit the returns of bitcoin (BTC). As the first cryptocurrency created, the behavior of this new asset is characterized by great volatility. The lack of a proper definition or classification under existing theory exacerbates this property in such a way that explosive periods followed by a rapid decline have been observed along the series, meaning bubble episodes. By detecting the periods in which a bubble rises and collapses, it is possible to study the statistical properties of such segments. In particular, adjusting a theoretical distribution may help to determine better strategies to hedge against these episodes. The NIG is an appropriate candidate not only because of its heavy-tailed property but also because it has been proven to be closed under convolution, a characteristic that can be implemented to measure multivariate value at risk. Using data on the price of BTC with respect to seven of the main global currencies, the NIG was able to fit every time segment despite the bubble behavior. In the out-of-sample tests, the NIG was proven to have an adjustment similar to that of a generalized hyperbolic (GH) distribution. This result could serve as a starting point for future studies regarding the statistical properties of cryptocurrencies as well as their multivariate distributions. Public Library of Science 2019-03-22 /pmc/articles/PMC6430404/ /pubmed/30901371 http://dx.doi.org/10.1371/journal.pone.0213919 Text en © 2019 Núñez et al http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
spellingShingle | Research Article Núñez, José Antonio Contreras-Valdez, Mario I. Franco-Ruiz, Carlos A. Statistical analysis of bitcoin during explosive behavior periods |
title | Statistical analysis of bitcoin during explosive behavior periods |
title_full | Statistical analysis of bitcoin during explosive behavior periods |
title_fullStr | Statistical analysis of bitcoin during explosive behavior periods |
title_full_unstemmed | Statistical analysis of bitcoin during explosive behavior periods |
title_short | Statistical analysis of bitcoin during explosive behavior periods |
title_sort | statistical analysis of bitcoin during explosive behavior periods |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6430404/ https://www.ncbi.nlm.nih.gov/pubmed/30901371 http://dx.doi.org/10.1371/journal.pone.0213919 |
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