Periodicity in Cryptocurrency Volatility and Liquidity

Peter Hansen, Chan Kim and Wade Kimbrough

Papers from arXiv.org

Abstract: We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns in both volatility and volume across day-of-the-week, hour-of-the-day, and within the hour. These patterns have grown stronger over the years and can be related to algorithmic trading and funding times in futures markets. We also document that price formation mainly takes place on the centralized exchanges while price adjustments on the decentralized exchanges can be sluggish.

Date: 2021-09, Revised 2021-11
New Economics Papers: this item is included in nep-cwa, nep-mst and nep-pay
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http://arxiv.org/pdf/2109.12142 Latest version (application/pdf)

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Journal Article: Periodicity in Cryptocurrency Volatility and Liquidity* (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2109.12142

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