Schnaubelt, Matthias; Rende, Jonas; Krauss, Christopher - In: Journal of risk and financial management : JRFM 12 (2019) 1/25, pp. 1-30
The majority of electronic markets worldwide employ limit order books, and the recently emerging exchanges for cryptocurrencies pose no exception. With this work, we empirically analyze whether commonly observed empirical properties from established limit order exchanges transfer to the...