Predictable Bitcoin Momentum or Reversion?
September 14, 2021 - Currency Trading, Momentum Investing
Does bitcoin (BTC) price predictably exhibit momentum or reversion? To investigate, we try three tests: Calculate autocorrelations (serial correlations) between daily, weekly and monthly (4-week) BTC returns and BTC returns for the next five respective intervals (for example, correlation of daily return with returns the next five days). Positive and negative correlations suggest momentum and… Keep Reading