Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies.
European Journal of Finance, 2020, DOI: 10.1080/1351847X.2020.1789684
33 Pages Posted: 9 Jul 2020 Last revised: 11 Aug 2020
Date Written: May 13, 2020
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 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 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
JEL Classification: G02, G11, G12, G14, G15, G23
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