Shanaev, Savva; Vasenin, Mikhail; Stepanov, Roman - 2022
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-minute candles (in minutes 0, 15, 30, and 45 of each trading hour). Average returns in other...
