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Bitcoin at High Frequency

Department of Economics and Business Economics, Aarhus University and CREATES, Aarhus BSS, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
Tvilum A/S, Egon Kristiansens Allé 2, DK-8882 Faarvang, Denmark
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2019, 12(1), 36;
Received: 12 December 2018 / Revised: 23 January 2019 / Accepted: 30 January 2019 / Published: 15 February 2019
(This article belongs to the Special Issue Alternative Assets and Cryptocurrencies)
This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns starting from tick-by-tick price changes traded at the Bitstamp and Coinbase exchanges. We find evidence of a smooth intra-daily seasonality pattern, and an abnormal trade- and volatility intensity at Thursdays and Fridays. We find no predictability for Bitcoin returns at or above one day, though, we find predictability for sample frequencies up to 6 h. Predictability of Bitcoin returns is also found to be time–varying. We also study the behaviour of the realized volatility of Bitcoin. We document a remarkable high percentage of jumps above 80 % . We also find that realized volatility exhibits: (i) long memory; (ii) leverage effect; and (iii) no impact from lagged jumps. A forecast study shows that: (i) Bitcoin volatility has become more easy to predict after 2017; (ii) including a leverage component helps in volatility prediction; and (iii) prediction accuracy depends on the length of the forecast horizon. View Full-Text
Keywords: bitcoin; realized volatility; HAR; high frequency bitcoin; realized volatility; HAR; high frequency
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MDPI and ACS Style

Catania, L.; Sandholdt, M. Bitcoin at High Frequency. J. Risk Financial Manag. 2019, 12, 36.

AMA Style

Catania L, Sandholdt M. Bitcoin at High Frequency. Journal of Risk and Financial Management. 2019; 12(1):36.

Chicago/Turabian Style

Catania, Leopoldo, and Mads Sandholdt. 2019. "Bitcoin at High Frequency" Journal of Risk and Financial Management 12, no. 1: 36.

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