High-Frequency Jump Analysis of the Bitcoin Market*

Olivier Scaillet, Adrien Treccani and Christopher Trevisan

Journal of Financial Econometrics, 2020, vol. 18, issue 2, 209-232

Abstract: 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 induce a persistent change in the price.

Keywords: Bitcoin; high-frequency data; jumps; liquidity (search for similar items in EconPapers)
JEL-codes: C58 G12 G14 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (27)

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Related works:
Working Paper: High-Frequency Jump Analysis of the Bitcoin Market (2017)
Working Paper: High-Frequency Jump Analysis of the Bitcoin Market (2017)
Working Paper: High-frequency jump analysis of the bitcoin market (2017)
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