HackerPapers

arXiv:1704.08175q-fin.ST

High-Frequency Jump Analysis of the Bitcoin Market

Olivier Scaillet, Adrien Treccani, Christopher Trevisan

HN submission. Found in a submission link or body. Submitters do not count as commenters in the main ranking; a submission is not an endorsement.

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 see a persistent change in the price.

arXiv comments
Journal reference
DOI
Subjects
q-fin.STStatistical Finance

On Hacker News

No comments linking this paper were found in the collected sources. Found in 1 HN submission from Apr 2017 to Apr 2017. Open submission discussions.

Comments linking this paper, per year.

Discussed in comments0 threads

No comments linking this paper were found in the collected sources. Open submission discussions.

Submitted to Hacker News

Connected through shared HN threads, not inferred similarity or a recommendation.