Testing Stylized Facts of Bitcoin Limit Order Books

By M. Schnaubelt, J. Rende, Christopher Krauss. 2019

22 citations recorded by the source corpus.

The majority of electronic markets worldwide employ limit order books, and the recently emerging exchanges for cryptocurrencies pose no exception. With this work, we empirically analyze whether commonly observed empirical properties from established limit order exchanges transfer to the cryptocurrency domain. Based on the literature, we establish a structured methodological framework to conduct analyses in a systematic and comprehensive way. We then present results from a unique and extensive limit order data set acquired from major cryptocurrency exchanges for the currency pair Bitcoin to US Dollar. We recover many observations from mature markets, such as a symmetry between the average ask and the average bid side of the order book, autocorrelation in returns on the smallest time scales only, volatility clustering and the timing of large trades. We also observe some idiosyncrasies: The distributions of trade size and limit order prices deviate from commonly observed patterns. Also, we find limit order books to be relatively shallow and liquidity costs to be relatively high when compared to established markets.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Statistical Arbitrage in Cryptocurrency Markets (2019, positive): “• Transaction costs: We assume 15 bps per half turn, based on analyses on transaction costs and liquidity costs provided in Schnaubelt et al. (2019) on cryptocurrency limit order book data.”