Daily and Intraday Patterns in Cryptocurrency Volatility and Liquidity

Summary

This study investigates recurring patterns in volatility and trading volume for Bitcoin and Ether across Coinbase Pro, Binance, and Uniswap V2. It examines variation by weekday, hour of day, and intervals within each hour. The authors report systematic periodicity in both volatility and volume, with these patterns becoming stronger over time. They suggest links to algorithmic trading activity and to funding times in futures markets, although the description does not establish those factors as causal explanations.

The study also compares how prices adjust across centralized and decentralized venues. Its reported finding is that price formation occurs mainly on centralized exchanges, while decentralized exchange prices can adjust more slowly. These observations may matter when analyzing crypto market activity across venues and time scales. The available summary does not specify the sample dates, exact pattern sizes, or the tests used to measure persistence and adjustment speed, so it does not show how reliably the results generalize to other assets, exchanges, or market conditions.

Key ideas

• Bitcoin and Ether show recurring volatility and volume patterns by weekday, hour, and within-hour interval.
• The reported periodic patterns have strengthened over time.
• The authors relate the patterns to algorithmic trading and futures funding times.
• Price formation is reported to occur mainly on centralized exchanges.
• Decentralized exchange prices may adjust more slowly, but the description gives no effect sizes or sample dates.

Tags

# Periodicity in Cryptocurrency Volatility and Liquidity


# Periodicity in Cryptocurrency Volatility and Liquidity









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.

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.