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

Elie Bouri, Chi Keung Marco Lau, Tareq Saeed, Shixuan Wang, Yuqian Zhao

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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.
    Original languageEnglish
    Article number101784
    JournalInternational Review of Financial Analysis
    Early online date27 Apr 2021
    Publication statusE-pub ahead of print - 27 Apr 2021


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