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

Bouri, E., Lau, C.K.M., Saeed, T., Wang, S., Zhao, Y. (2021) On the intraday return curves of Bitcoin: Predictability and trading opportunities. International Review of Financial Analysis, 76 . Article Number 101784. ISSN 1057-5219. (doi:10.1016/j.irfa.2021.101784) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:93919)

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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
DOI/Identification number: 10.1016/j.irfa.2021.101784
Uncontrolled keywords: Bitcoin; Cumulative intraday return (CIDR) curves; Predictability; Efficiency; Trading opportunities
Subjects: H Social Sciences
H Social Sciences > H Social Sciences (General)
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Yuqian Zhao
Date Deposited: 17 May 2022 09:35 UTC
Last Modified: 18 May 2022 09:19 UTC
Resource URI: (The current URI for this page, for reference purposes)
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