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High-Frequency Jump Analysis of the Bitcoin Market
| Content Provider | Scilit |
|---|---|
| Author | Scaillet, Olivier Treccani, Adrien Trevisan, Christopher |
| Copyright Year | 2017 |
| Description | Journal: Ssrn Electronic Journal 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. |
| Related Links | http://arxiv.org/pdf/1704.08175 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2982298 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2982298 |
| Journal | Ssrn Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-06-08 |
| Access Restriction | Open |
| Subject Keyword | Journal: Ssrn Electronic Journal High-frequency Data |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |