Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10438368" target="_blank" >RIV/00216208:11320/21:10438368 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=cA4mB8vfej" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=cA4mB8vfej</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/1351847X.2020.1789684" target="_blank" >10.1080/1351847X.2020.1789684</a>
Alternative languages
Result language
angličtina
Original language name
Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies
Original language description
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 summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well as respective overall high-frequency based market statistics with respect to temporal aspects. Our results provide mandatory insight into a market, where the grand scale employment of automated trading algorithms and the extremely rapid execution of trades might seem to be a standard based on media reports. Our findings on intraday momentum of trading patterns lead to a new quantitative view on approaching the predictability of economic value in this new digital market.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
European Journal of Finance
ISSN
1351-847X
e-ISSN
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Volume of the periodical
27
Issue of the periodical within the volume
1
Country of publishing house
GB - UNITED KINGDOM
Number of pages
23
Pages from-to
8-30
UT code for WoS article
000552572900001
EID of the result in the Scopus database
2-s2.0-85088560238