Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Business
Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
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 …
Understanding Cryptocurrencies, Wolfgang Karl Hardle, Campbell R. Harvey, Raphael C. G. Ruele
Understanding Cryptocurrencies, Wolfgang Karl Hardle, Campbell R. Harvey, Raphael C. G. Ruele
Sim Kee Boon Institute for Financial Economics
Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own national cryptocurrency. In contrast to most data in financial economics, detailed data on the history of every transaction in the cryptocurrency complex are freely available. Furthermore, empirically oriented research is only now beginning, presenting an extraordinary research opportunity for academia. We provide some insights into the mechanics of cryptocurrencies, describing summary statistics and focusing on potential future research avenues in financial economics.