The Quarter-Hour Effect: Periodic Algorithmic Trading and Return Predictability in Cryptocurrency Futures

By Chan Kim, Peter Reinhard Hansen

Published 2026-07-20

Everscope rating

1863.4

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Phase-Resolved Autocorrelation Map with LASSO Forecasting and Horizon-Specific Predictive Regressions. Problem types: Time Series Forecasting, Classification, Regression, Market Microstructure Analysis, Algorithmic Execution, Risk Management.

arXiv:2607.09426 · Paper rankings

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