Market Microstructure and Order Book Dynamics in Cryptocurrency Exchanges (CROSBI ID 665209)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Puljiz, Mate ; Begušić, Stjepan ; Kostanjčar, Zvonko
engleski
Market Microstructure and Order Book Dynamics in Cryptocurrency Exchanges
We study investor behavior in the Bitcoin/USD market based on a continuous-time stochastic model for the order book dynamics. The simplicity of the model allows for straightforward parameter estimation from the data and a comparison with developed exchanges such as stock markets. The analysis is performed on the order book data stream captured over a continuous period of 300 hours. Our results suggest that the model is a good match for the considered cryptocurrency exchange. We report a large number of front runners in the market, which may artificially inflate both incoming and outgoing order intensities. In addition, we find that symmetrizing bid and ask intensities improves the model accuracy. Based on the model we are able to calculate probabilities of an upward mid-price movement, and shed new light on the market microstructure in cryptocurrency exchanges.
Market microstructure ; Order book dynamics ; Cryptocurrency exchange
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Podaci o prilogu
1-4.
2018.
objavljeno
Podaci o matičnoj publikaciji
Crypto Valley Conference on Blockchain Technology, Zug, Switzerland, 2018.
Podaci o skupu
Crypto Valley Conference on Blockchain Technology
predavanje
20.06.2018-22.06.2018
Zug, Švicarska