{"title":"移动平均指标对比特币价格的动态是否有效","authors":"Kuang-Chieh Yen, Yu-Li Lin, Wei-Ying Nie","doi":"10.2139/ssrn.3836454","DOIUrl":null,"url":null,"abstract":"This study explores whether the technical analysis based on moving average indicator can predict Bitcoin returns during January 2014 and October 2019. First, we find that Bitcoin weekly returns are well predictable by the technical indicator defined as the difference between the log moving averages and log current price in both in-sample and out-of-sample tests. However, the return predictability is not significant in daily frequency. We further show that the term structure of moving-average indicator provides significantly predictive power to Bitcoin weekly returns, especially for the lower correlated moving-average indicators.","PeriodicalId":385335,"journal":{"name":"Cryptocurrencies eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Does Moving-average Indicators Work Well on the Dynamic of Bitcoin Prices\",\"authors\":\"Kuang-Chieh Yen, Yu-Li Lin, Wei-Ying Nie\",\"doi\":\"10.2139/ssrn.3836454\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study explores whether the technical analysis based on moving average indicator can predict Bitcoin returns during January 2014 and October 2019. First, we find that Bitcoin weekly returns are well predictable by the technical indicator defined as the difference between the log moving averages and log current price in both in-sample and out-of-sample tests. However, the return predictability is not significant in daily frequency. We further show that the term structure of moving-average indicator provides significantly predictive power to Bitcoin weekly returns, especially for the lower correlated moving-average indicators.\",\"PeriodicalId\":385335,\"journal\":{\"name\":\"Cryptocurrencies eJournal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-04-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Cryptocurrencies eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3836454\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Cryptocurrencies eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3836454","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Does Moving-average Indicators Work Well on the Dynamic of Bitcoin Prices
This study explores whether the technical analysis based on moving average indicator can predict Bitcoin returns during January 2014 and October 2019. First, we find that Bitcoin weekly returns are well predictable by the technical indicator defined as the difference between the log moving averages and log current price in both in-sample and out-of-sample tests. However, the return predictability is not significant in daily frequency. We further show that the term structure of moving-average indicator provides significantly predictive power to Bitcoin weekly returns, especially for the lower correlated moving-average indicators.
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