Trading Periodicity and Algorithmic Divide in Cryptocurrency Markets
研究发现比特币和以太坊的现货与永续期货市场存在亚秒级交易周期性，其中现货周期由代理算法驱动，永续期货周期由自营算法驱动，这些周期增加波动和交易成本，但价格发现主要发生在自营算法活跃时段。
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.