Corpus ID: 237940837

Periodicity in Cryptocurrency Volatility and Liquidity

@inproceedings{Hansen2021PeriodicityIC,
  title={Periodicity in Cryptocurrency Volatility and Liquidity},
  author={Peter Reinhard Hansen and Chan Kim and Wade Kimbrough},
  year={2021}
}
  • Peter Reinhard Hansen, Chan Kim, Wade Kimbrough
  • Published 24 September 2021
  • Economics
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns in both volatility and volume across day-of-the-week, hour-of-the-day, and within the hour. These patterns have grown stronger over the years and are presumably related to algorithmic trading and funding times in futures markets. We also document that price… Expand

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