ArticleHeliyon2023
Turn-of-the-candle effect in bitcoin returns.
Article in Heliyon, 2023. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Not yet cited in PubMed.
What it found
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
The trial behind it
Trials whose registry record cites this paper, or whose number appears in the abstract. A trial that started after this paper was published is citing it as background, not reporting it.
Neither the registry nor the abstract names a trial number. If this is a trial report, that itself is worth knowing.
Who cites it
0 citing papers in PubMed.
No citing paper in PubMed yet.
Corrections and comments
PubMed lists nothing against this paper. Absence here is not a guarantee, only a check that was made.
Authors and funding
3 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
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-min candles (in minutes 0, 15, 30, and 45 of each trading hour). Average returns in other trading minutes are negative. The effect is consistent across Bitcoin exchanges, in quantile regression models, and TGARCH-M estimations with heavy tails, and persist in out-of-sample tests. A high-frequency strategy that exploits this "turn-of-the-candle" effect can be net-outperforming with initial investment as low as $5,000. The anomaly is detected in the data starting from mid-to-late 2020, is potentially associated with algorithmic trading relying on the arrival of 15-min candle information, and its discovery contributes significantly to the understanding of cryptocurrency adaptive market efficiency.
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Registered trials
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