Corpus ID: 237940837

Periodicity in Cryptocurrency Volatility and Liquidity

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


Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?
Abstract We propose using the hourly share of trading volume and realized variance measures to explore Bitcoin's intraday periodicities on Bitstamp Exchange. Empirical results indicate that theExpand
How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets
We examine the investibility of Bitcoin by exploring the trading dynamics and market microstructure of Bitcoin on three US cryptocurrency exchanges using high frequency intraday data of individualExpand
Intraday periodicity in algorithmic trading
This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10min throughout theExpand
Intraday periodicity and volatility persistence in financial markets
Abstract The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. OnlyExpand
Bitcoin Spot and Futures Market Microstructure
We study Bitcoin (BTC) trading at the CME and four settlement spot exchanges that transact $146 million per day in the BTC/USD pair. Spot market median trade sizes are under $1,300 but exceed $18,000Expand
Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intradayExpand
Bitcoin Market Microstructure
Bitcoin is traded on exchanges which use an open limit order book. This paper investigates the microstructure of various bitcoin markets with respect to liquidity and private information processing.Expand
Bitcoin at High Frequency
This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns starting from tick-by-tick price changes traded at the Bitstamp and CoinbaseExpand
Time-Varying Periodicity in Intraday Volatility
ABSTRACT We develop a nonparametric test for whether return volatility exhibits time-varying intraday periodicity using a long time series of high-frequency data. Our null hypothesis, commonlyExpand
A Permanent and Transitory Component Model of Stock Return Volatility
In this paper, we develop a statistical unobserved component model for stock market volatility. The volatility, which is measured by the conditional variance of stock returns, is decomposed into aExpand