Informed trading and cryptocurrencies. New evidence using tick-by-tick data

Karthik Natashekara and Aravind Sampath

Finance Research Letters, 2024, vol. 61, issue C

Abstract: Do trade size preferences exist in cryptocurrencies? Using high-frequency tick-by-tick data of cryptocurrencies, we examine what trade sizes contribute to daily cumulative price changes, viz. small, medium, and large. We employ robust estimations and document the presence of informed trading in the cryptocurrency asset class, and this is specifically translated via medium and small trades. We provide evidence to support the presence of stealth trading in cryptocurrencies. Our results contradict the prevailing view that informed trades in the cryptocurrency market occur via large trades.

Keywords: Stealth trading; Microstructure; Bitcoin; Cryptocurrency (search for similar items in EconPapers)
JEL-codes: G12 G14 G20 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323012813

DOI: 10.1016/j.frl.2023.104909

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