Catania, Leopoldo; Sandholdt, Mads - In: Journal of risk and financial management : JRFM 12 (2019) 1/36, pp. 1-20
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...
