Scaillet, OlivierTreccani, AdrienTrevisan, Christopher2020-08-212020-08-212020-08-212020-03-0110.1093/jjfinec/nby013https://infoscience.epfl.ch/handle/20.500.14299/171013WOS:000556573700002We 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.Business, FinanceEconomicsBusiness & Economicsbitcoinhigh-frequency datajumpsliquiditystochastic volatilityfalse discoveriesoptionsimpactbondtext::journal::journal article::research article