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

Alla A. Petukhina, Raphael Reule and Wolfgang Karl H\"ardle

Papers from arXiv.org

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.

Date: 2020-09
New Economics Papers: this item is included in nep-mst and nep-pay
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Citations: View citations in EconPapers (5)

Published in The European Journal of Finance, Latest Articles, 2020

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http://arxiv.org/pdf/2009.04200 Latest version (application/pdf)

Related works:
Journal Article: Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies (2021)
Working Paper: Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2009.04200

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