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Trading Periodicity and Algorithmic Divide in Cryptocurrency Markets

Author

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  • Andrei Shynkevich

Abstract

Distinctive periodic patterns in trading activity at subsecond frequencies are present in the spot market and perpetual futures for Bitcoin and Ethereum at the major cryptocurrency exchange. Trading periodicity in the spot market is indicative of agency algorithms taking liquidity. The periodic pattern of trading activity in perpetual futures is symbolic of proprietary algorithms taking liquidity. Periodic surges in trading activity recurring at regular time intervals increase volatility and raise transaction costs, but they do not cause a significant adverse price impact. The largest share of price discovery occurs during the periods of trading activity associated with proprietary algorithms taking liquidity.

Suggested Citation

  • Andrei Shynkevich, 2026. "Trading Periodicity and Algorithmic Divide in Cryptocurrency Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(5), pages 904-930, May.
    • Handle: RePEc:wly:jfutmk:v:46:y:2026:i:5:p:904-930
    DOI: 10.1002/fut.70089
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    References listed on IDEAS

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    Cited by:

    1. Chan Kim & Peter Reinhard Hansen, 2026. "The Quarter-Hour Effect: Periodic Algorithmic Trading and Return Predictability in Cryptocurrency Futures," Papers 2607.09426, arXiv.org, revised Jul 2026.

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