Cryptokurtosis: frequent trading fuels higher losses

Stavros Degiannakis, George Filis and Grigorios Siourounis
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Stavros Degiannakis: Bank of Greece and Panteion University of Social and Political Sciences
George Filis: Panteion University of Social and Political Sciences
Grigorios Siourounis: Panteion University of Social and Political Sciences

No 361, Working Papers from Bank of Greece

Abstract: We assess the impact of cryptocurrencies ultra-high frequency trading on financial stability. Focusing on three well-established cryptocurrencies, namely Bitcoin, Ethereum and Sui, we show that as the trading frequency increases, so do the excess potential losses of the investors, over and above the anticipated losses based on the Value-at-Risk. This is led by the exponential growth of the kurtosis that is exhibited at high-frequency trading. Given that currently the minimum capital requirements do not differentiate between the trading frequency but only between the type of crypto assets groups, we show that such overlook poses a threat to the financial stability.

Keywords: Block chain; Cryptocurrencies; Finite moments; Risk management; Ultra-high frequency trading (search for similar items in EconPapers)
JEL-codes: C40 C54 F30 G10 G15 G17 (search for similar items in EconPapers)
Pages: 20
Date: 2026-05
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