论文标题
机器的崛起？加密货币的高频交易模式
Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
论文作者
论文摘要
这项研究分析了加密货币市场的高频数据，这些数据与算法交易有关的盘中交易模式及其对欧洲加密货币市场的影响。我们研究贸易定量，例如收益，交易量，波动性周期性，并提供与CRIX（加密货币指数）的回报相关性以及相对于时间方面的总体基于高频的市场统计数据的摘要统计数据。我们的结果提供了对市场的强制性见解，在该市场中，自动交易算法的大规模就业以及根据媒体报告的标准似乎是一个标准。我们对贸易模式盘内势头的发现导致了有关在这个新数字市场中接近经济价值的可预测性的新定量观点。
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.
