Work

Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies

Year: 2020

Type: article

Abstract: This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well as respective overall high-frequency based market statistics with respect to temporal aspects. Our results provide mandatory insight into a market, where the grand scale employment of automated trading algorithms and the extremely rapid execution of trades might seem to be a standard based on media reports. Our findings on intraday momentum of trading patterns lead to a new quantitative view on approaching the predictability of economic value in this new digital market.

Source: European Journal of Finance

DOI: 10.1080/1351847x.2020.1789684

Authors: Alla A. Petukhina, Raphael C. G. Reule, Wolfgang Karl Härdle

Institutions: Humboldt-Universität zu Berlin, National Yang Ming Chiao Tung University, Charles University, Singapore Management University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $800

Funder: Grantová Agentura České Republiky