• Corpus ID: 237940837

Periodicity in Cryptocurrency Volatility and Liquidity

  title={Periodicity in Cryptocurrency Volatility and Liquidity},
  author={Peter Reinhard Hansen and Chan Wung Kim and Wade Kimbrough},
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… 


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