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

Bouri, Elie and Lau, Chi Keung Marco and Saeed, Tareq and Wang, Shixuan and Zhao, Yuqian (2021) 'On the intraday return curves of Bitcoin: Predictability and trading opportunities.' International Review of Financial Analysis, 76. ISSN 1057-5219

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

Item Type: Article
Uncontrolled Keywords: Bitcoin, Cumulative intraday return (CIDR) curves, Predictability, Efficiency, Trading opportunities
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 26 May 2021 11:01
Last Modified: 26 May 2021 11:15

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