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

Alla A. Petukhina, Raphael Reule and Wolfgang Härdle

No 2019-020, IRTG 1792 Discussion Papers from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"

Abstract: This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns. 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. 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 view on approaching the predictability of economic value in this new digital market.

Keywords: Cryptocurrency; High-Frequency Trading; Algorithmic Trading; Liquidity; Volatility; Price Impact; CRIX (search for similar items in EconPapers)
JEL-codes: G02 G11 G12 G14 G15 G23 (search for similar items in EconPapers)
Date: 2019
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https://www.econstor.eu/bitstream/10419/230796/1/irtg1792dp2019-020.pdf (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 (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:irtgdp:2019020

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