Abstract

I sought to identify the most liquid and volatile hours of the cryptocurrency markets, using BTC as the baseline and main indicator of market activity. I studied the most recent 5-month time period, July-December of 2021, on multiple high-volume exchanges. I found that BTC volume peaks at the 10:00 a.m. to 11:00 a.m. EST time period at an average volume of just over 1,000 and bottoms at the 0:00 a.m. to 1:00 a.m. EST time period at an average volume of just over 400. I found the average hourly volume of BTC to be just over 650 coins. I found that BTC volatility peaks at the 10:00 a.m. to 11:00 a.m. EST time period at an average absolute value percent change of just over 0.725% and bottoms at the 0:00 a.m. to 1:00 a.m. EST time period at an average absolute value percent change of just over 0.50%. I found the average hourly absolute value percent change of BTC to be just over 0.6%.

Introduction

It is well known that American stock markets are most liquid at the opening and closing hours (9:30-10:15 & 3:15-4:00). The liquidity during these times provides a perfect market environment to submit a large market order or to set a large limit order and being able to fill the entire position. Cryptocurrency trading occurs 24 hours a day and occurs worldwide. There are no comparable opening and closing hours in this market. There are no studies of the most liquid and volatile times of the cryptocurrency market. This lack of information prevents entities from knowing how much slippage to expect at certain times of the day when executing trades, this becomes particularly important with algorithmic trading as the creator will not check the market conditions at the time. For this reason I sought to identify the most liquid and volatile hours of the cryptocurrency markets, using BTC as the baseline and main indicator of market activity. As liquidity is needed to open or close positions executing trades during the most liquid hours will minimizing slippage.

Methods

BTC trades on multiple different exchanges with varying levels of volume on different exchanges at different times. For this reason I chose to download historical trading data from the BTCUSD index on TradingView which combines and averages multiple large exchanges volume and price. I downloaded 145 days worth of hourly trading data, for a total of 3,457 hours from July, 8 - December, 1 of 2021. First all UTC hours were converted to EST hours.

To determine liquidity I sorted and averaged volume by hour for all 3,457 hours. After I found the total average volume of BTC per day. Next I ran statistical analysis to determine the standard deviation and plotted values accordingly.

To determine volatility I first found the absolute value of the percent change per hour for all 3,457 hours. Next I sorted and averaged the remaining values by hour. After I found the total absolute value average percent change of BTC per day. Next I ran statistical analysis to determine the standard deviation and plotted values accordingly.

Results

Average Volume of BTC per Hour (from July 8 to December 1, 2021).

The average volume of BTC per hour was found to be 654.25 Bitcoin. One standard deviation was found to be 186.89 BTC. The most liquid hours of BTC and assumingly the entire cryptocurrency market occurs between 9:00 and 11:00 EST. The least liquid hours occur between 22:00 and 5:00 EST.

Average Volatility of BTC per Hour (from July 8 to December 1, of 2021).

The average percent change of BTC per hour was found to be 0.609125%. One standard deviation was found to be 0.064794%. The most volatile hours of BTC and assumingly the entire cryptocurrency market occurs between 10:00 and 12:00 EST. The least volatile hours occur between 23:00 and 3:00 EST.

Average Volume and Volatility of BTC per Hour (from July 8 to December 1, of 2021).