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

Copyright Owner and License

Authors / SKBI

Additional URL

https://doi.org/10.1080/1351847X.2020.1789684

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