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Virtual Seminar – Shixuan Wang

Title: On the intraday return curves of bitcoin: predictability and trading opportunities

Abstract: Motivated by the potential inferences from intraday price data in the controversial Bitcoin market, we apply functional data analyses to study cumulative intraday return (CIDR) curves.  Our first analysis indicates that bitcoin intraday return curves are stationary, non-normal, uncorrelated, but exhibit conditional heteroscedastic. Then, we show the possibility of predictivity in the intraday cumulative return of bitcoins and assess forecasting performance. Finally, we utilize the functional forecasting methods to explore the intraday trading opportunities of bitcoins and the results find evidence of profitable trading opportunities based on intraday trading strategies, which confronts the efficient market hypothesis.

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12th October 2020
1:00 pm - 2:00 pm
Event Category:


Steven Bosworth
Joo Young Jeon