Price Discovery, High-Frequency Trading and Jumps in Bitcoin Markets

A later version of this paper has been published in the Journal of Financial Stability (Volume 50, October 2020, Article Number 100776).When trading volumes are high, bitcoin futures on the Chicago Mercantile Exchange (CME) and -- until recently -- the Chicago Board Options Exchange (CBOE) lead high-frequency bitcoin price formation. During periods of low trading volumes, the futures become decoupled from prices on centralised bitcoin spot exchanges. However, the trading volume on CME futures has been trending upwards and their price discovery role is now highly significant. Basis risk increases following jumps in either spot or futures prices but these are rapidly arbitraged away by high-frequency institutional traders in the futures

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Year of publication:	2020
Authors:	Alexander, Carol
Other Persons:	Heck, Daniel F. (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Börsenkurs \| Share price \| Elektronisches Handelssystem \| Electronic trading \| Ankündigungseffekt \| Announcement effect

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Extent:	1 Online-Ressource (27 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 5, 2019 erstellt
Other identifiers:	10.2139/ssrn.3383147 [DOI]
Classification:	C22 - Time-Series Models ; C5 - Econometric Modeling ; E42 - Monetary Systems; Standards; Regimes; Government and the Monetary System ; F31 - Foreign Exchange ; G1 - General Financial Markets ; G2 - Financial Institutions and Services
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012849349