The Quarter-Hour Effect: Periodic Algorithmic Trading and Return Predictability in Cryptocurrency Futures
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摘要
Using six Binance USDT-margined perpetual futures, the study unveils pronounced intrahour periodic bursts in volatility and volume that align with calendar-bound boundaries, especially at quarter-hour marks. The bursts correlate with algorithmic trading, evidenced by a sharp decline in trade-size roundness within the burst windows and a phase-specific Autocorrelation Map (ACM) that highlights dependence concentrated around quarter-hour openings. The opening 10-second returns are forecastable from their boundary-aligned lagged values, and quarter-hour order imbalance contains medium-horizon information for future returns, with predictive content strengthening as horizons lengthen from four to twelve hours. A two-stage decomposition shows that the shorter-horizon component is driven by same-phase lagged flow, while the longer-horizon content is increasingly tied to observable pre-boundary price-volume signals. These findings imply a clock-time coordination channel where boundary execution timing materially influences liquidity provision and price discovery, with practical implications for how traders schedule boundary trades. [page::4][page::23][page::50]
