Voigt Distribution and Its Heavy-tail Modeling Ability for Cryptocurrencies
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F19%3A00336003" target="_blank" >RIV/68407700:21340/19:00336003 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Voigt Distribution and Its Heavy-tail Modeling Ability for Cryptocurrencies
Original language description
Voigt distribution is a convolution of a Cauchy distribution and a Gaussian distribution. This distribution has been so far widely used in technical disciplines. The inclusion of the Cauchy distribution into the mixture makes it a possible alternative for modeling heavy tail properties commonly present in financial data. In our contribution, the close form of distributional characteristics of the distribution like characteristic function (CF), probability density function (PDF) and cumulative distribution function (CDF) is derived. Due to their numerical complexity, these functions do not provide any practical usage for the maximum likelihood estimation (MLE) of its parameters. Therefore, we propose the use of Fast Fourier Transform (FFT) to make the parameter estimation via MLE technique more numerically feasible. This approach is then verified on the returns of cryptocurrencies which tend to have more heavy tails than those of ordinary heavy tail distributions. The results we obtained with this method are quite interesting.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of 37th International Conference on Mathematical Methods in Economics 2019,
ISBN
978-80-7394-760-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
139-144
Publisher name
Jihočeská universita v Českých Budějovicích
Place of publication
České Budějovice
Event location
Ceske Budejovice
Event date
Sep 11, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000507570400022