Are Bitcon returns predictable?: Evidence from technical indicators

【Author】 Liu, Li

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】We examine the predictive ability of technical indicators for excess returns to Bitcoin prices. Our out-of-sample evidence suggests the existence of significant return predictability. Combining all technical information results in out-of-sample R-2 as high as 0.523%. The dynamic strategy based on the return forecasts from combining technical information achieves the CER gains greater than 130%. (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Bitcoin return; Predictive regression; Certainty equivalent return

【发表时间】2019 1-Nov

【收录时间】2022-01-02

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