We show that exploitable lead-lag relations of the order of a few hundred milliseconds exist in the three pairings between the S&P 500, FTSE 100, and DAX futures contracts. These relations exhibit clear intra-daily patterns, particularly around the US open, the European close, and the...

Bitcoin has received much investor attention in recent years, however, there remains a lot of scepticism and lack of understanding of this cryptocurrency. We contribute to the growing literature of Bitcoin by examining the intraday variables of the leading Bitcoin exchange with the highest...