Patterns in Short-term Bitcoin Returns?

Are there short-term patterns in bitcoin returns? In their April 2022 paper entitled “Seasonality, Trend-following, and Mean Reversion in Bitcoin”, Matus Padysak and Radovan Vojtko explore short-term bitcoin return behaviors. They look at:

• Daily patterns with respect to NYSE trading hours, defining intraday return as 10:00-16:00, overnight return as 16:00-10:00 and daily return as 1600-16:00 (all New York times).
• Next-day trend-following/reversal based on proximity to maximum or minimum price over the previous 10, 20, 30, 40 or 50 days.

Using hourly and daily bitcoin prices in U.S. dollars from the Gemini exchange during mid-September 2015 through early March 2022, they find that:

(more…)