Use of Normal Distribution: The paper assumes the normal distribution to model BTC returns, even with multiple distributions combined on log-transformed returns. The associate professor is correct to be cautious about this. BTC's volatility and behavior differ significantly from assets that typically fit the normal distribution model well. The assu... See more

Abstract Bitcoin (BTC) returns exhibit pronounced positive skewness with a third central moment of approximately 150% per year. They are well characterized by a mixture of Normals distribution with one “normal” regime and a small probability of a “bliss” regime where the price appreciation is more than 100 times at the annual horizon. The large ri... See more