Bitcoin at High Frequency
AbstractThis 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
Share & Cite This Article
Catania, L.; Sandholdt, M. Bitcoin at High Frequency. J. Risk Financial Manag. 2019, 12, 36.
Catania L, Sandholdt M. Bitcoin at High Frequency. Journal of Risk and Financial Management. 2019; 12(1):36.Chicago/Turabian Style
Catania, Leopoldo; Sandholdt, Mads. 2019. "Bitcoin at High Frequency." J. Risk Financial Manag. 12, no. 1: 36.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.