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High-Frequency Jump Analysis of the Bitcoin Market

Author

Listed:
  • Olivier Scaillet

    (University of Geneva and Swiss Finance Institute)

  • Adrien Treccani

    (University of Zurich)

  • Christopher Trevisan

    (Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute)

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.

Suggested Citation

  • Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series 17-19, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1719
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Jumps; Liquidity; High-frequency data; Bitcoin;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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