Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies

Alla Petukhina

72 citations0/0 files storedEuropean Journal of Finance

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Financial Markets and Investment Strategies FinTech, Crowdfunding, Digital Finance Stock Market Forecasting Methods

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.

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References

1973The Behavior of Stock Prices on Fridays and Mondays 2020Digital Tulips? Returns to investors in initial coin offerings 2018CRIX an Index for cryptocurrencies 2018Some stylized facts of the cryptocurrency market 2019The influence of Bitcoin on Portfolio Diversification and Design 2006Day-of-the-week effects in emerging stock markets 2018The day of the week effect in the cryptocurrency market 2021Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies

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