Periodicity in Cryptocurrency Volatility and Liquidity
| Autor: | Peter Reinhard Hansen, Chan Kim, Wade Kimbrough |
|---|---|
| Rok vydání: | 2022 |
| Předmět: |
Cryptocurrency
Economics and Econometrics Quantitative Finance - Trading and Market Microstructure Market microstructure Econometrics (econ.EM) Ether Trading and Market Microstructure (q-fin.TR) FOS: Economics and business Ethereum High frequency data Pricing of Securities (q-fin.PR) Quantitative Finance - Pricing of Securities Realized volatility Bitcoin Finance Economics - Econometrics |
| Zdroj: | Journal of Financial Econometrics. |
| ISSN: | 1479-8417 1479-8409 |
| DOI: | 10.1093/jjfinec/nbac034 |
| Popis: | We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (CEXs; Coinbase Pro and Binance) and a decentralized exchange (DEX; 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 formation mainly takes place on the CEXs while price adjustments on the DEXs can be sluggish. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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