Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies

• Main Authors: PETUKHINA, Alla A, REULE, Raphael C. G., HARDLE, Wolfgang Karl
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Cryptocurrency; High-Frequency Trading; Algorithmic Trading; Liquidity; Volatility; Price Impact; FinTech; CRIX; Finance and Financial Management; Technology and Innovation
• Online Access: https://ink.library.smu.edu.sg/skbi/3; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1002&context=skbi
• Institution: Singapore Management University

This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide sum...