Periodicity in Cryptocurrency Volatility and Liquidity
研究了比特币和以太坊在中心化交易所和去中心化交易所的波动性与交易量的周期性模式，发现这些模式随时间增强，且价格发现主要在中心化交易所。
Abstract We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (CEXs; Coinbase Pro and Binance) and a decentralized exchange (DEX; Uniswap V2). We find systematic patterns in both volatility and volume across day-of-the-week, hour-of-the-day, and within the hour. These patterns have grown stronger over the years and are presumably related to algorithmic trading and funding times in futures markets. We also document that price formation mainly takes place on the CEXs while price adjustments on the DEXs can be sluggish.