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May 31, 2026Journal of Futures MarketsOpen Access

Time‐Varying Skewness–Kurtosis Dynamics in Bitcoin Markets

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Authors

AKAriston KaragiorgisABAntonis Ballis

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Overview

This analysis examines skewness-kurtosis relationships in Bitcoin, indicating dynamic market conditions.

Key Points

  • This research aims to explore the relationship between skewness and kurtosis in Bitcoin markets, using high-frequency data.
  • Utilized high-frequency data from Bitcoin spot and futures markets.
  • Investigated the association between trading activity and realized kurtosis.
  • Allowed skewness and kurtosis relationships to evolve over time to assess curvature variation.
  • Identified a strong convex skewness–kurtosis relationship across Bitcoin markets.
  • Found that trading activity is positively associated with realized kurtosis, particularly in futures markets.
  • Revealed substantial curvature variation, indicating time-dependent dynamics in higher moments.

Cite This Study

Karagiorgis et al. (2026) studied this question.

synapsesocial.com/papers/6a1bd03d5783ba022b6fc197https://doi.org/10.1002/fut.70117
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