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Informed trading and cryptocurrencies. New evidence using tick-by-tick data

Author

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  • Natashekara, Karthik
  • Sampath, Aravind

Abstract

Do trade size preferences exist in cryptocurrencies? Using high-frequency tick-by-tick data of cryptocurrencies, we examine what trade sizes contribute to daily cumulative price changes, viz. small, medium, and large. We employ robust estimations and document the presence of informed trading in the cryptocurrency asset class, and this is specifically translated via medium and small trades. We provide evidence to support the presence of stealth trading in cryptocurrencies. Our results contradict the prevailing view that informed trades in the cryptocurrency market occur via large trades.

Suggested Citation

  • Natashekara, Karthik & Sampath, Aravind, 2024. "Informed trading and cryptocurrencies. New evidence using tick-by-tick data," Finance Research Letters, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323012813
    DOI: 10.1016/j.frl.2023.104909
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    References listed on IDEAS

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    More about this item

    Keywords

    Stealth trading; Microstructure; Bitcoin; Cryptocurrency;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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