The Accuracy of the Tick Rule in the Bitcoin Market

Donglian Ma and Pengxiang Zhai

SAGE Open, 2021, vol. 11, issue 2, 21582440211014504

Abstract: The tick rule is one of the most popular trade classification algorithms used when an order initiator in market data is not signed. Using 11.9 million trades of Bitcoin/USD on Bitstamp, this article tests the accuracy of the tick rule in the Bitcoin market. Evidence indicates that the overall success rate of the tick rule is 76.87%. It is also shown that the tick rule is inclined to fail in discerning trade intentions when there is a long period of time between trades. Furthermore, order imbalances computed using the tick rule lack sufficient accuracy in the Bitcoin market.

Keywords: Bitcoin; tick rule; classification; accuracy; order imbalance (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211014504

DOI: 10.1177/21582440211014504

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