Quarter-Hour Patterns and Return Predictability in Crypto Futures

Summary

This study investigates recurring bursts in volatility and trading volume around one-minute, five-minute, and quarter-hour boundaries in cryptocurrency markets. It analyzes trade data from six Binance perpetual contracts and uses the changing roundness of trade sizes as an indicator of algorithmic participation. Trade sizes become markedly less round during the observed bursts, which the authors link to increased algorithmic activity.

The paper introduces an Autocorrelation Map that resolves order-flow and return dependence by clock phase, revealing patterns at quarter-hour openings that conventional measures may miss. It reports that opening returns are predictable out of sample, and that order imbalance at quarter-hour openings predicts returns over four to twelve hours. These relationships are much weaker at finer clock-time intervals. The findings describe patterns in a specific set of perpetual contracts; the supplied account gives no effect sizes, transaction-cost analysis, or evidence that the predictability can be captured profitably after execution costs.

Key ideas

• Volatility and volume bursts occur around recurring minute, five-minute, and quarter-hour marks in the studied contracts.
• Trade-size roundness declines during these bursts, consistent with greater algorithmic participation.
• A clock-phase-resolved Autocorrelation Map reveals dependencies at quarter-hour openings.
• Opening returns show out-of-sample predictability, while opening imbalance predicts returns over four to twelve hours.
• The reported effects are weaker at finer clock-time frequencies, and profitability after costs is not established.

Tags

# The Quarter-Hour Effect: Periodic Algorithmic Trading and Return Predictability in Cryptocurrency Futures


# The Quarter-Hour Effect: Periodic Algorithmic Trading and Return Predictability in Cryptocurrency Futures









Cryptocurrency markets exhibit periodic bursts in volatility and volume at one-minute, five-minute, and quarter-hour marks. Using trade data for six Binance perpetual contracts, we link these bursts to algorithmic participation: trade-size roundness declines sharply during them. The Autocorrelation Map, a clock-phase-resolved display, reveals serial dependence in order flow and returns at quarter-hour openings that conventional measures obscure. Opening returns are predictable out of sample, while opening order imbalance predicts returns over four to twelve hours, with much weaker effects at finer clock-time frequencies. Together, these findings characterize periodic algorithmic trading and its cross-frequency variation.

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.