Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies

Arbeitspapier

This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns. 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. 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 view on approaching the predictability of economic value in this new digital market.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IRTG 1792 Discussion Paper ; No. 2019-020

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets ; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
• Subject: Cryptocurrency ; High-Frequency Trading ; Algorithmic Trading ; Liquidity ; Volatility ; Price Impact ; CRIX

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Petukhina, Alla A. ; Reule, Raphael C. G. ; Härdle, Wolfgang Karl
• Event: Veröffentlichung
• (who): Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
• (where): Berlin
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/230796
• Last update: 10.03.2025, 11:45 AM CET