High-Frequency Jump Analysis of the Bitcoin Market
Olivier Scaillet (),
Adrien Treccani and
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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
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)
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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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