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

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  • Chan Kim
  • Peter Reinhard Hansen

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:arx:papers:2607.09426
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    References listed on IDEAS

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