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Price discovery in cryptocurrency markets: sub-second evidence

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  • Shynkevich, Andrei

Abstract

Using transaction-level data for leading digital assets traded on the largest cryptocurrency exchange, we examine trading activity at the 100-millisecond horizon. A disproportionally high trading activity is found during the first 100 milliseconds of a given second in both spot market and perpetual futures. We consider two competing explanations rooted in exchange-level infrastructure versus participant-driven algorithmic trading. Trades executed during the first 100 milliseconds of a second have a significant contribution to permanent price changes after adjusting for the elevated trading intensity during that interval, which is consistent with the notion of algorithmic trading and its leading role in price discovery in the cryptocurrency markets.

Suggested Citation

  • Shynkevich, Andrei, 2026. "Price discovery in cryptocurrency markets: sub-second evidence," Economics Letters, Elsevier, vol. 266(C).
    • Handle: RePEc:eee:ecolet:v:266:y:2026:i:c:s016517652600220x
    DOI: 10.1016/j.econlet.2026.113026
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