Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230796 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
IRTG 1792 Discussion Paper No. 2019-020
Verlag: 
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Cryptocurrency
High-Frequency Trading
Algorithmic Trading
Liquidity
Volatility
Price Impact
CRIX
JEL: 
G02
G11
G12
G14
G15
G23
Dokumentart: 
Working Paper

Datei(en):
Datei
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