Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230796
Authors: 
Petukhina, Alla A.
Reule, Raphael C. G.
Härdle, Wolfgang Karl
Year of Publication: 
2019
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2019-020
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. 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.
Subjects: 
Cryptocurrency
High-Frequency Trading
Algorithmic Trading
Liquidity
Volatility
Price Impact
CRIX
JEL: 
G02
G11
G12
G14
G15
G23
Document Type: 
Working Paper

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