Publication

High-Frequency Jump Analysis of the Bitcoin Market

Christopher Trevisan
2020
Journal Articles

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.

Official source

https://infoscience.epfl.ch/entities/publication/a74c6e6f-33c5-4334-acbb-648f22ddc634

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Graph Chat

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

High-Frequency Jump Analysis of the Bitcoin Market

Chat with Graph Search

Decarbonizing the fertilizers sector: an alternative pathway for urea and nitric acid production

Altruism, reciprocity, and tokens to reward forwarding data: Is that fair?

Energy Management of Price-Maker Community Energy Storage by Stochastic Dynamic Programming