Abstract
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.
| Original language | English |
|---|---|
| Article number | nbac034 |
| Journal | Journal of Financial Econometrics |
| Volume | 22 |
| Issue number | 1 |
| Pages (from-to) | 224–251 |
| Number of pages | 28 |
| ISSN | 1479-8409 |
| DOIs | |
| Publication status | Published - 2024 |
Bibliographical note
Published online: 12 October 2022.Keywords
- Bitcoin
- Ether
- Ethereum
- Cryptocurrency
- High frequency data
- Market microstructure
- Realized volatility