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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2510.12911 |
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| _version_ | 1866910178429894656 |
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| author | Simsek, Yasin |
| author_facet | Simsek, Yasin |
| contents | Betas from spot regressions are central to asset pricing and risk management, as measures of systematic risk. This paper develops a new estimation and inference framework for spot regressions by leveraging high-frequency candlesticks, extending conventional (open-to-close) returns with intra-period high/low prices. Specifically, I construct candlestick-based estimators of regression parameters, including spot beta, by minimizing a quadratic risk under a fixed-k asymptotic framework. I then develop a feasible hypothesis testing procedure for spot betas with correct asymptotic size. Simulation results show that the proposed estimator reduces estimation risk relative to return-based estimators, especially in small samples, and the test achieves notably higher power. I apply the framework to assess the market neutrality of Bitcoin using 1-minute data on IBIT and SPY, finding deviations from neutrality, particularly in high-volatility periods. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_12911 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Spot Regressions with Candlesticks Simsek, Yasin Econometrics Risk Management Methodology Betas from spot regressions are central to asset pricing and risk management, as measures of systematic risk. This paper develops a new estimation and inference framework for spot regressions by leveraging high-frequency candlesticks, extending conventional (open-to-close) returns with intra-period high/low prices. Specifically, I construct candlestick-based estimators of regression parameters, including spot beta, by minimizing a quadratic risk under a fixed-k asymptotic framework. I then develop a feasible hypothesis testing procedure for spot betas with correct asymptotic size. Simulation results show that the proposed estimator reduces estimation risk relative to return-based estimators, especially in small samples, and the test achieves notably higher power. I apply the framework to assess the market neutrality of Bitcoin using 1-minute data on IBIT and SPY, finding deviations from neutrality, particularly in high-volatility periods. |
| title | Spot Regressions with Candlesticks |
| topic | Econometrics Risk Management Methodology |
| url | https://arxiv.org/abs/2510.12911 |