On the intraday return curves of Bitcoin: Predictability and trading opportunities

نویسندگان

چکیده

Abstract Motivated by the potential inferences from intraday price data in controversial Bitcoin market, we apply functional analysis techniques to study cumulative return (CIDR) curves. First, indicate that CIDR curves are stationary, non-normal, uncorrelated, but exhibit conditional heteroscedastic, although find projection scores of could be serially correlated during some certain periods. Second, show possibility predicting Bitcoins based on and then assess forecasting performance. Finally, utilize methods explore trading opportunities results provide evidence profitable strategies, which confronts efficient market hypothesis.

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ژورنال

عنوان ژورنال: International Review of Financial Analysis

سال: 2021

ISSN: ['1873-8079', '1057-5219']

DOI: https://doi.org/10.1016/j.irfa.2021.101784