Publication Type
Journal Article
Version
submittedVersion
Publication Date
1-2021
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.
Keywords
Cryptocurrency, High-Frequency Trading, Algorithmic Trading, Liquidity, Volatility, Price Impact, FinTech, CRIX
Discipline
Finance and Financial Management | Technology and Innovation
Publication
European Journal of Finance
Volume
27
Issue
1
First Page
8
Last Page
30
ISSN
1351-847X
Identifier
10.1080/1351847X.2020.1789684
Publisher
Taylor and Francis
Embargo Period
5-19-2021
Citation
PETUKHINA, Alla A; REULE, Raphael C. G.; and HARDLE, Wolfgang Karl.
Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies. (2021). European Journal of Finance. 27, (1), 8-30.
Available at: https://ink.library.smu.edu.sg/skbi/3
Copyright Owner and License
Authors / SKBI
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/1351847X.2020.1789684