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Cryptokurtosis: frequent trading fuels higher losses

Author

Listed:
  • Stavros Degiannakis

    (Bank of Greece and Panteion University of Social and Political Sciences)

  • George Filis

    (Panteion University of Social and Political Sciences)

  • Grigorios Siourounis

    (Panteion University of Social and Political Sciences)

Abstract

We assess the impact of cryptocurrencies ultra-high frequency trading on financial stability. Focusing on three well-established cryptocurrencies, namely Bitcoin, Ethereum and Sui, we show that as the trading frequency increases, so do the excess potential losses of the investors, over and above the anticipated losses based on the Value-at-Risk. This is led by the exponential growth of the kurtosis that is exhibited at high-frequency trading. Given that currently the minimum capital requirements do not differentiate between the trading frequency but only between the type of crypto assets groups, we show that such overlook poses a threat to the financial stability.

Suggested Citation

  • Stavros Degiannakis & George Filis & Grigorios Siourounis, 2026. "Cryptokurtosis: frequent trading fuels higher losses," Working Papers 361, Bank of Greece.
    • Handle: RePEc:bog:wpaper:361
    DOI: 10.52903/wp2026361
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    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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