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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

European Journal of Finance

ISSN

1351-847X

e-ISSN

—

Svazek periodika

27

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

23

Strana od-do

8-30

Kód UT WoS článku

000552572900001

EID výsledku v databázi Scopus

2-s2.0-85088560238