On modeling the log-returns of Bitcoin and Ethereum prices against the USA Dollar
The study and investigation of the behavior of monetary phenomena is an interesting subject for actuaries and practitioners. In the recent age and development in the monetary and financial phenomena, cryptocurrency has gained much attention from actuaries. Over the past decade, several research stud...
| Main Authors: | , , , , , , , , , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2024-01-01
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| Series: | Alexandria Engineering Journal |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1110016823010864 |
| _version_ | 1797341490677022720 |
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| author | Mustafa Kamal Sabir Ali Siddiqui Nayabuddin Afaf Alrashidi Maha M. Helmi Hassan M. Aljohani Aned Al Mutairi Ibrahim AlKhairy Eslam Hussam M. Yusuf Samhi Abdelaty Difalla |
| author_facet | Mustafa Kamal Sabir Ali Siddiqui Nayabuddin Afaf Alrashidi Maha M. Helmi Hassan M. Aljohani Aned Al Mutairi Ibrahim AlKhairy Eslam Hussam M. Yusuf Samhi Abdelaty Difalla |
| author_sort | Mustafa Kamal |
| collection | DOAJ |
| description | The study and investigation of the behavior of monetary phenomena is an interesting subject for actuaries and practitioners. In the recent age and development in the monetary and financial phenomena, cryptocurrency has gained much attention from actuaries. Over the past decade, several research studies have emerged on modeling and forecasting cryptocurrency exchange rates. This paper also contributes to the modeling of cryptocurrency exchange rates using a new version of the Logistic distribution, namely, a new cotangent-Logistic distribution. The mathematical properties and estimators of the new cotangent-logistic distribution's parameters are obtained. We illustrate the new cotangent-Logistic distribution using two financial data sets representing the log-returns of the Bitcoin and Ethereum prices. We compare the new cotangent-Logistic distribution with the baseline Logistic distribution and its modified version. Using the p-value and three other statistical tests, we show that the new cotangent-Logistic distribution repeatedly provides the optimal fit to cryptocurrency exchange rates. |
| first_indexed | 2024-03-08T10:20:13Z |
| format | Article |
| id | doaj.art-e504ac616b9a44f6beaf7d096a3fad3e |
| institution | Directory Open Access Journal |
| issn | 1110-0168 |
| language | English |
| last_indexed | 2024-03-08T10:20:13Z |
| publishDate | 2024-01-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Alexandria Engineering Journal |
| spelling | doaj.art-e504ac616b9a44f6beaf7d096a3fad3e2024-01-28T04:19:12ZengElsevierAlexandria Engineering Journal1110-01682024-01-0187340349On modeling the log-returns of Bitcoin and Ethereum prices against the USA DollarMustafa Kamal0Sabir Ali Siddiqui1 Nayabuddin2Afaf Alrashidi3Maha M. Helmi4Hassan M. Aljohani5Aned Al Mutairi6Ibrahim AlKhairy7Eslam Hussam8M. Yusuf9Samhi Abdelaty Difalla10Department of Basic Sciences, College of Science and Theoretical Studies, Saudi Electronic University, Dammam, 32256, Saudi ArabiaDepartment of Mathematics and Sciences, College of Arts and Applied Sciences, Dhofar University, Salalah, OmanDepartment of Epidemiology, College of Public Health and Tropical Medicine, Jazan University, Saudi ArabiaDepartment of Statistics, Faculty of Science, University of Tabuk, Tabuk, Saudi ArabiaDepartment of Mathematics and Statistics, College of Science, P.O. Box 11099, Taif University, Taif 21944, Saudi ArabiaDepartment of Mathematics and Statistics, College of Science, P.O. Box 11099, Taif University, Taif 21944, Saudi ArabiaDepartment of Mathematical Sciences, College of Science, Princess Nourah bint Abdulrahman University, P.O. Box 84428, Riyadh 11671, Saudi ArabiaDepartment of Mathematics, Al-Qunfudah University College, Umm Al-Qura University, Mecca, Saudi ArabiaDepartment of Accounting, College of Business Administration in Hawtat Bani Tamim, Prince Sattam bin Abdulaziz University, Saudi ArabiaDepartment of Mathematics, Faculty of Science, Helwan University, Cairo, EgyptDepartment of Accounting, College of Business Administration in Hawtat Bani Tamim, Prince Sattam bin Abdulaziz University, Saudi Arabia; Department of Accounting, Faculty of Commerce and Business Administration, Helwan University, Egypt; Corresponding author.The study and investigation of the behavior of monetary phenomena is an interesting subject for actuaries and practitioners. In the recent age and development in the monetary and financial phenomena, cryptocurrency has gained much attention from actuaries. Over the past decade, several research studies have emerged on modeling and forecasting cryptocurrency exchange rates. This paper also contributes to the modeling of cryptocurrency exchange rates using a new version of the Logistic distribution, namely, a new cotangent-Logistic distribution. The mathematical properties and estimators of the new cotangent-logistic distribution's parameters are obtained. We illustrate the new cotangent-Logistic distribution using two financial data sets representing the log-returns of the Bitcoin and Ethereum prices. We compare the new cotangent-Logistic distribution with the baseline Logistic distribution and its modified version. Using the p-value and three other statistical tests, we show that the new cotangent-Logistic distribution repeatedly provides the optimal fit to cryptocurrency exchange rates.http://www.sciencedirect.com/science/article/pii/S1110016823010864Logistic distributionCotangent functionCryptocurrencyStatistical modeling |
| spellingShingle | Mustafa Kamal Sabir Ali Siddiqui Nayabuddin Afaf Alrashidi Maha M. Helmi Hassan M. Aljohani Aned Al Mutairi Ibrahim AlKhairy Eslam Hussam M. Yusuf Samhi Abdelaty Difalla On modeling the log-returns of Bitcoin and Ethereum prices against the USA Dollar Alexandria Engineering Journal Logistic distribution Cotangent function Cryptocurrency Statistical modeling |
| title | On modeling the log-returns of Bitcoin and Ethereum prices against the USA Dollar |
| title_full | On modeling the log-returns of Bitcoin and Ethereum prices against the USA Dollar |
| title_fullStr | On modeling the log-returns of Bitcoin and Ethereum prices against the USA Dollar |
| title_full_unstemmed | On modeling the log-returns of Bitcoin and Ethereum prices against the USA Dollar |
| title_short | On modeling the log-returns of Bitcoin and Ethereum prices against the USA Dollar |
| title_sort | on modeling the log returns of bitcoin and ethereum prices against the usa dollar |
| topic | Logistic distribution Cotangent function Cryptocurrency Statistical modeling |
| url | http://www.sciencedirect.com/science/article/pii/S1110016823010864 |
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