This paper documents time series momentum in Bitcoin returns. The paper finds persistence in returns for one to 8 weeks that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. The time series momentum in Bitcoin returns is similar to that of the other asset returns while the time span is much shorter. This may be due to much quicker nature and shorter term memory of Bitcoin investors. A combined portfolio of S&P500 and Bitcoin momentum strategy shows enhanced expected return, skewness, kurtosis and Value at Risk for given levels of portfolio return volatility.

中文翻译：

---

比特币作为替代投资工具

本文记录了比特币回报中的时间序列动量。该论文发现，回报率持续了1到8周，在更长的时间范围内会部分逆转，这与最初反应不足和延迟反应过度的情绪理论一致。比特币回报的时间序列动量类似于其他资产回报的动量，但时间跨度要短得多。这可能是由于比特币投资者的性格更快和记忆力更短。S＆P500和比特币动量策略的组合投资组合显示出，在给定投资组合回报波动率水平下，预期回报，偏度，峰度和风险价值得到了增强。