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Market Microstructure and Order Book Dynamics in Cryptocurrency Exchanges


Puljiz, Mate; Begušić, Stjepan; Kostanjčar, Zvonko
Market Microstructure and Order Book Dynamics in Cryptocurrency Exchanges // Crypto Valley Conference on Blockchain Technology, Zug, Switzerland, 2018.
Zug, Švicarska, 2018. str. 1-4 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)


Naslov
Market Microstructure and Order Book Dynamics in Cryptocurrency Exchanges

Autori
Puljiz, Mate ; Begušić, Stjepan ; Kostanjčar, Zvonko

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Crypto Valley Conference on Blockchain Technology, Zug, Switzerland, 2018. / - , 2018, 1-4

Skup
Crypto Valley Conference on Blockchain Technology

Mjesto i datum
Zug, Švicarska, 20-22.6.2018

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Market microstructure ; Order book dynamics ; Cryptocurrency exchange

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Računarstvo, Informacijske i komunikacijske znanosti



POVEZANOST RADA


Projekt / tema
HRZZ-UIP-2014-09-5349 - Algoritmi za mjerenje sustavskog rizika (Zvonko Kostanjčar, )

Ustanove
Fakultet elektrotehnike i računarstva, Zagreb