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

See all articles by Alla Petukhina

Alla Petukhina

Humboldt University of Berlin - Institute for Statistics and Econometrics

Raphael C. G. Reule

International Research Training Group 1792

Wolfgang K. Härdle

Humboldt University of Berlin - Institute for Statistics and Econometrics; Xiamen University - Wang Yanan Institute for Studies in Economics (WISE); Charles University; Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Date Written: May 13, 2020

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 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

Suggested Citation

Petukhina, Alla and Reule, Raphael C. G. and Härdle, Wolfgang K., Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies. (May 13, 2020). European Journal of Finance, 2020, DOI: 10.1080/1351847X.2020.1789684, Available at SSRN: https://ssrn.com/abstract=3565088

Alla Petukhina

Humboldt University of Berlin - Institute for Statistics and Econometrics ( email )

Unter den Linden 6
Berlin, AK Berlin 10099
Germany

Raphael C. G. Reule (Contact Author)

International Research Training Group 1792 ( email )

Unter den Linden 6
Berlin, AK Berlin 10099
Germany
+49 30 2093 99469 (Phone)

HOME PAGE: http://irtg1792.hu-berlin.de

Wolfgang K. Härdle

Humboldt University of Berlin - Institute for Statistics and Econometrics ( email )

Unter den Linden 6
Berlin, D-10099
Germany

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) ( email )

A 307, Economics Building
Xiamen, Fujian 10246
China

Charles University ( email )

Celetná 13
Dept Math Physics
Praha 1, 116 36
Czech Republic

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Unter den Linden 6
Berlin, D-10099
Germany

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