Open AccessThe tail risk measurement of bitcoin price fluctuations under strict supervision - based on GPD distribution
Author(s) -
Juan Wang,
Feng Tian
Publication year - 2020
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1437/1/012069
Subject(s) - currency , yield (engineering) , pareto principle , distribution (mathematics) , interval (graph theory) , econometrics , economics , commission , measure (data warehouse) , monetary economics , mathematics , statistics , computer science , physics , finance , mathematical analysis , combinatorics , database , thermodynamics
The research interval is divided into three intervals according to the date of occurrence, “China announced to shut down bitcoin exchanges” and “American Securities and Exchange Commission published the announcement of non-standardization of digital currency exchanges”. And the Generalized Pareto Distribution is used to measure the tail risk of bitcoin price fluctuation in the three intervals. It is found that the Generalized Pareto distribution can better fit the thick tail of the bitcoin yield, and the risk of price fluctuation in the three intervals presents a change of “low-high-low”.