High-Frequency Jump Analysis of the Bitcoin Market

【Author】 Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher

【Source】JOURNAL OF FINANCIAL ECONOMETRICS

【影响因子】3.976

【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 induce a persistent change in the price.

【Keywords】Bitcoin; high-frequency data; jumps; liquidity

【发表时间】2020 SPR

【收录时间】2022-01-02

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