Analysis of the trading interval duration for the Bitcoin market using high-frequency transaction data

Makoto Nakakita; Teruo Nakatsuma; Makoto Nakakita; Teruo Nakatsuma

doi:10.3934/QFE.2025007

Quantitative Finance and Economics

2025, Volume 9, Issue 1: 202-241. doi: 10.3934/QFE.2025007

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Research article

Analysis of the trading interval duration for the Bitcoin market using high-frequency transaction data

Makoto Nakakita ^{1
,
,},
Teruo Nakatsuma ²

1.
Center for Advanced Intelligence Project, RIKEN, Nihonbashi 1-Chome Mitsui Building, 15th Floor, 1-4-1 Nihonbashi, Chuo-ku, Tokyo, Japan
2.
Faculty of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo, Japan

Received: 21 October 2024 Revised: 23 February 2025 Accepted: 13 March 2025 Published: 18 March 2025
JEL Codes: C11, C15, C32, C41, G17

Analyzing the trading interval durations of cryptocurrencies is important both academically and practically, but there has been no previous research using tick data. Therefore, we conducted a time series analysis on the duration of the trading interval between consecutive transactions in the Bitcoin market to identify similarities and differences with conventional financial assets such as stocks and commodities. We applied high-frequency transaction tick data from the Bitcoin market to a stochastic conditional duration (SCD) model and estimated the effects of trade price changes and volumes on the trading interval duration simultaneously with the intraday seasonality of the durations. As a result, we captured the effects of the direction of price movements and trading volume on trading interval durations. We also found that the trading interval duration is strongly persistent for Bitcoin similar to conventional financial assets. In contrast, we could not find any clear pattern of intraday seasonality for duration in the Bitcoin market.
- Bayesian methods,
- financial time series,
- high-frequency data,
- cryptocurrency,
- Markov chain Monte Carlo method,
- ancillary-sufficiency interweaving strategy,
- duration model
Citation: Makoto Nakakita, Teruo Nakatsuma. Analysis of the trading interval duration for the Bitcoin market using high-frequency transaction data[J]. Quantitative Finance and Economics, 2025, 9(1): 202-241. doi: 10.3934/QFE.2025007

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Abstract

Analyzing the trading interval durations of cryptocurrencies is important both academically and practically, but there has been no previous research using tick data. Therefore, we conducted a time series analysis on the duration of the trading interval between consecutive transactions in the Bitcoin market to identify similarities and differences with conventional financial assets such as stocks and commodities. We applied high-frequency transaction tick data from the Bitcoin market to a stochastic conditional duration (SCD) model and estimated the effects of trade price changes and volumes on the trading interval duration simultaneously with the intraday seasonality of the durations. As a result, we captured the effects of the direction of price movements and trading volume on trading interval durations. We also found that the trading interval duration is strongly persistent for Bitcoin similar to conventional financial assets. In contrast, we could not find any clear pattern of intraday seasonality for duration in the Bitcoin market.

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