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Periodicity in Cryptocurrency Volatility and Liquidity

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arxiv 2109.12142 v2 pith:CXG5HQVC submitted 2021-09-24 q-fin.TR econ.EMq-fin.PR

Peter Reinhard Hansen , Chan Kim , Wade Kimbrough This is my paper · ORCID
classification q-fin.TRecon.EMq-fin.PR
keywords exchangespatternsvolatilitycentralizeddecentralizedpricevolumeacross
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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 can be related to algorithmic trading and funding times in futures markets. We also document that price formation mainly takes place on the centralized exchanges while price adjustments on the decentralized exchanges can be sluggish.

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