High-Frequency Jump Analysis of the Bitcoin Market
30 Pages Posted: 10 Jun 2017 Last revised: 26 Jun 2017
Date Written: June 8, 2017
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.
Keywords: Jumps, Liquidity, High-frequency data, Bitcoin
JEL Classification: C58, G12, G14
Suggested Citation: Suggested Citation