Title: Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies
Authors: Petukhina, Alla A.
Reule, Raphael C. G.
Haerdle, Wolfgang Karl
資訊管理與財務金融系
註:原資管所+財金所

Department of Information Management and Finance
Keywords: Cryptocurrency;high-frequency trading;algorithmic trading;liquidity;volatility;FinTech
Issue Date: 1-Jan-1970
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.
URI: http://dx.doi.org/10.1080/1351847X.2020.1789684
http://hdl.handle.net/11536/155179
ISSN: 1351-847X
DOI: 10.1080/1351847X.2020.1789684
Journal: EUROPEAN JOURNAL OF FINANCE
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Appears in Collections:Articles