Kurtosis and Bitcoin: A Quantitative Analysis by@caleb
3,346 reads

Kurtosis and Bitcoin: A Quantitative Analysis

September 7th 2019
20 min
by @caleb 3,346 reads
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Bitcoin returns from January 2016 till August 2019 exhibit excess kurtosis, writes Andrew Hammond. Hammond says the Black-Scholes model may poorly fit the bitcoin derivatives market. Hammond argues that the volatility of bitcoin prices is a little over 200% high. Hammond: Bitcoin's volatility is the result of a little more than 200% of the value of the option market. He argues that bitcoin's volatility would be extraordinary for the agricultural market and may change your assumptions about what price you would be willing to sell your corn.

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