The Quarter-Hour Effect: Periodic Algorithmic Trading and Return Predictability in Cryptocurrency Futures

Chan Kim and Peter Reinhard Hansen

Papers from arXiv.org

Abstract: Cryptocurrency markets exhibit periodic bursts in volatility and volume at one-minute, five-minute, and quarter-hour marks. Using trade data for six Binance perpetual contracts, we link these bursts to algorithmic participation: trade-size roundness declines sharply during them. The Autocorrelation Map, a clock-phase-resolved display, reveals serial dependence in order flow and returns at quarter-hour openings that conventional measures obscure. Opening returns are predictable out of sample, while opening order imbalance predicts returns over four to twelve hours, with much weaker effects at finer clock-time frequencies. Together, these findings characterize periodic algorithmic trading and its cross-frequency variation.

Date: 2026-07, Revised 2026-07
References: Add references at CitEc
Citations:

Downloads: (external link)
https://arxiv.org/pdf/2607.09426 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2607.09426

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().