High-Frequency Jump Analysis of the Bitcoin Market

Olivier Scaillet, Adrien Treccani and Christopher Trevisan
Additional contact information
Adrien Treccani: University of Zurich
Christopher Trevisan: Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute

No 17-19, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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 see a persistent change in the price.

Keywords: Jumps; Liquidity; High-frequency data; Bitcoin (search for similar items in EconPapers)
JEL-codes: C58 G12 G14 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2017-06
New Economics Papers: this item is included in nep-pay
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Citations: View citations in EconPapers (13)

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https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2982298 (application/pdf)

Related works:
Journal Article: High-Frequency Jump Analysis of the Bitcoin Market* (2020)
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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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1719

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