We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November … trader identifiers at a tick transaction level. Jumps are frequent events and they cluster in time. The order flow imbalance …

This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility …

This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns … Bitcoin returns at or above one day, though, we find predictability for sample frequencies up to 6 h. Predictability of … Bitcoin returns is also found to be time-varying. We also study the behaviour of the realized volatility of Bitcoin. We …