The Accuracy of the Tick Rule in the Bitcoin Market

【Author】 Ma, Donglian; Zhai, Pengxiang

【Source】SAGE OPEN

【影响因子】2.032

【Abstract】The tick rule is one of the most popular trade classification algorithms used when an order initiator in market data is not signed. Using 11.9 million trades of Bitcoin/USD on Bitstamp, this article tests the accuracy of the tick rule in the Bitcoin market. Evidence indicates that the overall success rate of the tick rule is 76.87%. It is also shown that the tick rule is inclined to fail in discerning trade intentions when there is a long period of time between trades. Furthermore, order imbalances computed using the tick rule lack sufficient accuracy in the Bitcoin market.

【Keywords】Bitcoin; tick rule; classification; accuracy; order imbalance

【发表时间】2021 APR

【收录时间】2022-02-22

【文献类型】期刊

【主题类别】

区块链应用-金融领域-