Fixed link
0
vote

High-Frequency Jump Analysis of the Bitcoin Market

Olivier Scaillet, Adrien Treccani, Christopher Trevisan

posted on 02 May 2017

pdf ps (72 views, 70 download, 0 comments)

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps are frequent events and they cluster in time. The order flow imbalance and the preponderance of aggressive traders, as well as a widening of the bid-ask spread predict them. Jumps have short-term positive impact on market activity and illiquidity and see a persistent change in the price.

Submitted by

matus's picture

12%

?