Turn-of-the-candle effect in bitcoin returns
This study discovers a statistically and economically significant intraday anomaly on Bitcoin markets. Positive returns of 0.58 bps per minute are disproportionately concentrated at the turn of 15-min candles (in minutes 0, 15, 30, and 45 of each trading hour). Average returns in other trading minut...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-03-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844023014433 |