Periodicity in Cryptocurrencies — Recurrent Patterns in Volatility and Volume
The high-frequency data in cryptocurrency markets is available at any time of the day, which facilitates the studies of periodicity measures beyond what’s possible in other markets. The research paper by Hansen, Kim, and Kimbrough (2021) investigates the periodicity in volatility and liquidity in two major cryptocurrencies, Bitcoin and Ether, using data from three exchanges, Binance, Coinbase Pro, and Uniswap V2. In particular, the authors measure relative volatility and relative volume across days, hours, and minutes. Their results have confirmed the presence of recurrent patterns in volatility and volume in studied cryptocurrencies for the periods day-of-the-week, hour-of-the-day, and within the hour.