High-Frequency Jump Analysis of the Bitcoin Market

30 Pages Posted: 10 Jun 2017 Last revised: 26 Jun 2017

See all articles by O. Scaillet

O. Scaillet

University of Geneva GSEM and GFRI; Swiss Finance Institute; University of Geneva - Research Center for Statistics

Adrien Treccani

University of Zurich

Christopher Trevisan

Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute

Date Written: June 8, 2017

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.

Keywords: Jumps, Liquidity, High-frequency data, Bitcoin

JEL Classification: C58, G12, G14

Suggested Citation

Scaillet, Olivier and Treccani, Adrien and Trevisan, Christopher, High-Frequency Jump Analysis of the Bitcoin Market (June 8, 2017). Swiss Finance Institute Research Paper No. 17-19. Available at SSRN: https://ssrn.com/abstract=2982298 or http://dx.doi.org/10.2139/ssrn.2982298

Olivier Scaillet (Contact Author)

University of Geneva GSEM and GFRI ( email )

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+ 41 22 379 88 16 (Phone)
+41 22 389 81 04 (Fax)

HOME PAGE: http://www.scaillet.ch

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

University of Geneva - Research Center for Statistics

Geneva
Switzerland

Adrien Treccani

University of Zurich ( email )

Schönberggasse 1
Zürich, 8001
Switzerland

Christopher Trevisan

Ecole Polytechnique Fédérale de Lausanne ( email )

Station 5
Odyssea 1.04
1015 Lausanne, CH-1015
Switzerland

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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