Working paper
Open access

High-frequency jump analysis of the bitcoin market

Publication date2017

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.

  • Jump
  • Liquidity
  • High-frequency data
  • Bitcoin
  • 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
  • PID : unige:93900

Technical informations

Creation04/26/2017 5:30:00 PM
First validation04/26/2017 5:30:00 PM
Update time03/15/2023 1:38:37 AM
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