Ghysels, Eric; Nguyen, Giang H. - In: Journal of risk and financial management : JRFM 12 (2019) 4/164, pp. 1-26
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...