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research article
High-Frequency Jump Analysis of the Bitcoin Market
March 1, 2020
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.
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Type
research article
Web of Science ID
WOS:000556573700002
Authors
Publication date
2020-03-01
Publisher
Published in
Volume
18
Issue
2
Start page
209
End page
232
Peer reviewed
REVIEWED
Available on Infoscience
August 21, 2020