IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v46y2026i5p904-930.html

Trading Periodicity and Algorithmic Divide in Cryptocurrency Markets

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/fut.70089
    Download Restriction: no
    File URL: https://libkey.io/10.1002/fut.70089?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:46:y:2026:i:5:p:904-930. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.