2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.TR2026
The Quarter-Hour Effect: Periodic Algorithmic Trading and Return Predictability in Cryptocurrency Futures
Chan Kim, Peter Reinhard Hansen
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…
q-fin.TR2021★ 2 cited
Periodicity in Cryptocurrency Volatility and Liquidity
Peter Reinhard Hansen, Chan Kim, Wade Kimbrough
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decen…