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Abstract:
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Ethereum was the first decentralised platform to support smart contracts. It has attracted significant publicity and captured the interests of a wide range of institutions, enthusiasts and even world leaders. We have analysed the market price index for all exchanges trading in Ethereum versus three global currencies, the Korean Won; Euro; US Dollar; Bitcoin, and the Global Price Index for Ethereum, through the fitting of fifteen parametric distributions. Our results show that returns are clearly non-normal, however, no single distribution fits well jointly for all of the indices. For four out of the five indices (Korean Won, Euro, Bitcoin, and Global Price Index) the generalized hyperbolic distribution gives the best fit, whereas for the US Dollar the asymmetric exponential power distribution gives the best fit. We also provide predictions based on the Value at Risk and Expected Shortfall based on historical Ether data. A discussion of the Ethereum platform, its development, and impact on the price of Ether is also provided.
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