Cryptocurrencies represent a digital medium of exchange which works on blockchain technology (distributed ledger). It is the blockchain technology what makes cryptocurrencies worthy because it provides decentralization, transparency and persistence, which are their main values. Decentralization means that there is no entity, which stores all the data or is realizing any policy to control the flow or price of the cryptocurrency, hence cannot be managed by any individual or authority. This feature is also connected with transparency and persistence because all information’s are stored on millions of venues and cannot be undone.

The first cryptocurrency ever introduced was Bitcoin on 09 January 2009 by its inventor Satoshi Nakamoto (which is a nickname, his real name is not known) as electronic cash system, that uses a peer-to-peer network. It started trading for several cents, and as it gained popularity, the value of Bitcoin hit almost 20 000 USD in late 2018. However, there are thousands of different cryptocurrencies nowadays. Some have different properties, which is making them more usable, efficient or anonymous.

As a market with cryptocurrencies evolved, so did the strategies which are using their nature. Basic strategies like momentum, value, carry and other factors which are present in various asset classes were found and are also used in the cryptocurrency market. As these markets show a high percentage of retail trading, it is no surprise, that momentum was one of the first anomalies which have been tested. One of the momentum strategies is Intraday momentum which Caporale and Plastun discovered in Bitcoin, Ethereum and Litecoin trading. Their analysis present, that days with high volatility could be recognized hours before the market close. On these particular days, the momentum effect last till the end of the day with significant impact.

Another example could be Carry factor which exploits the fact that all cryptocurrencies have rules built into their protocols that govern the issuance of new coins, as a by-product of the mining process. Carry for cryptocurrencies asks what will be the price return of currency if the underlying demand either driven by economic activity on the blockchain or by speculative activity, does not change.

BitCoin intraday momentum is not involved in cryptocurrencies search at Quantpedia.

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