Working paper
OA Policy
English

High-frequency jump analysis of the bitcoin market

Publication date2017
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
  • Jump
  • Liquidity
  • High-frequency data
  • Bitcoin
Classification
  • JEL : C58
Citation (ISO format)
SCAILLET, Olivier, TRECCANI, Adrien, TREVISAN, Christopher. High-frequency jump analysis of the bitcoin market. 2017
Main files (1)
Working paper
accessLevelPublic
Identifiers
  • PID : unige:93900
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448downloads

Technical informations

Creation26/04/2017 17:30:00
First validation26/04/2017 17:30:00
Update time15/03/2023 01:38:37
Status update15/03/2023 01:38:36
Last indexation31/10/2024 06:51:28
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