Flickering Quotes in Crypto-currency Trading
This paper provides a comprehensive documentation of the crypto-currency market microstructure and its intraday trading patterns. We collect a unique order-level data set from one of the major US-based crypo-currency exchanges that enables us to reconstruct the limit order book and track the behavior of each individual limit order. To our knowledge this is the first paper that takes advantage of order level data from crypto-currency exchanges. We find extensive HFT footprints in the crypto trading space where orders are generally short-lived. We also find the Bitcoin Cash (BCH) market differs from the other crypto markets by excessive cancellation activities and multiple market quality measurements. Our paper also contributes to the literature that studies the reasons of limit order cancellations by estimating a Cox proportional hazard model to our data. We find that limit orders get cancelled due to evolution of the limit order book and react to quote changes and adverse selection risk in mixed ways. Our results differ significantly from the previous studies on this subject and provides new insight into the landscape of crypto-currency trading in a low-latency environment.
Showing items related by title, author, creator and subject.
Chen, Liumin (Georgetown University, 2019)The history of financial crisis since the 1980s tells us that a high level of external debt usually makes countries more vulnerable to capital outflows and exchange rate fluctuations. This thesis uses a mixed-effect logit ...