High-frequency jump analysis of the bitcoin market

Olivier Scaillet (University of Geneva and Swiss Finance Institute), Adrien Treccani (University of Geneva and Swiss Finance Institute (PhD Program)), Christopher Trevisan (Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute (PhD Program))

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

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Year of publication:	June 8, 2017
Authors:	Scaillet, Olivier ; Treccani, Adrien ; Trevisan, Christopher
Publisher:	Geneva : Swiss Finance Institute
Subject:	Jumps \| Liquidity \| High-frequency data \| Bitcoin \| Virtuelle Währung \| Virtual currency \| Volatilität \| Volatility \| Elektronisches Handelssystem \| Electronic trading \| Finanzmarkt \| Financial market \| Liquidität \| Stochastischer Prozess \| Stochastic process \| Börsenkurs \| Share price

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