Article2022

Periodicity in Cryptocurrency Volatility and Liquidity

Peter Reinhard Hansen · Chan Kim · Wade Kimbrough

33 citations0/0 files storedJournal of Financial Econometrics

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Financial Markets and Investment Strategies Blockchain Technology Applications and Security Financial Risk and Volatility Modeling

Abstract

Abstract We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (CEXs; Coinbase Pro and Binance) and a decentralized exchange (DEX; 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 are presumably related to algorithmic trading and funding times in futures markets. We also document that price formation mainly takes place on the CEXs while price adjustments on the DEXs can be sluggish.

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References

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