Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange

Journal of Risk and Financial Management

Eric Ghysels¹  Giang Nguyen² 

[1] Department of Economics and Kenan-Flagler Business School, University of North Carolina, Chapel Hill, NC 27599, USA;Smeal College of Business, Pennsylvania State University, University Park, PA 16802, USA;

关键词: bitcoin;    cryptocurrency;    price discovery;    liquidity;    price impact;    limit order book market;    adverse selection;    learning;   

DOI  :  10.3390/jrfm12040164

来源: DOAJ

【 摘 要 】

We examine price discovery and liquidity provision in the secondary market for bitcoin—an asset with a high level of speculative trading. Based on BTC-e’s full limit order book over the 2013−2014 period, we find that order informativeness increases with order aggressiveness within the first 10 tiers, but that this pattern reverses in outer tiers. In a high volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in response to the information asymmetry. We also find support to the Markovian learning assumption often made in theoretical models of limit order markets.

【 授权许可】

Unknown