High-Frequency Jump Analysis of the Bitcoin Market*

By Olivier Scaillet, Adrien Treccani, C. Trevisan. Journal of Financial Econometrics, 2017

140 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2d8afd97701b7dfcc1d0f22d76798ac771dac3be

Citations in the corpus

• Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (2020, unknown): “Therefore our results are consistent with the notion that the bitcoin market has large “whales” who are large players that have a big price impact within bitcoin markets (Scaillet et al 2018).”