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

Elie Bouri (), Chi Keung Lau, Tareq Saeed, Shixuan Wang () and Yuqian Zhao

International Review of Financial Analysis, 2021, vol. 76, issue C

Abstract: 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.

Keywords: Bitcoin; Cumulative intraday return (CIDR) curves; Predictability; Efficiency; Trading opportunities (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001228

DOI: 10.1016/j.irfa.2021.101784

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