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Testing stylized facts of Bitcoin limit order books
Schnaubelt, Matthias; Rende, Jonas; Krauss, Christopher - In: Essays on financial time series analysis, (pp. 119-167). 2019
established limit order exchanges transfer to the cryptocurrency domain. Based on the literature, we establish a structured … extensive limit order data set acquired from major cryptocurrency exchanges for the currency pair Bitcoin to US Dollar. We …
Persistent link: https://www.econbiz.de/10012321328
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Testing stylized facts of Bitcoin limit order books
Schnaubelt, Matthias; Rende, Jonas; Krauss, Christopher - In: Journal of risk and financial management : JRFM 12 (2019) 1/25, pp. 1-30
established limit order exchanges transfer to the cryptocurrency domain. Based on the literature, we establish a structured … extensive limit order data set acquired from major cryptocurrency exchanges for the currency pair Bitcoin to US Dollar. We …
Persistent link: https://www.econbiz.de/10012022344
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On the quality of cryptocurrency markets : centralized versus decentralized exchanges
Barbon, Andrea; Ranaldo, Angelo - 2022 - This draft: April 2022
Despite the growing adoption of decentralized exchanges, little is known about their market quality. Using a comprehensive dataset, we compare decentralized blockchain-based venues (DEXs) to centralized crypto exchanges (CEXs) assessing two aspects of market quality: price efficiency and market...
Persistent link: https://www.econbiz.de/10013192214
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Toward a fully continuous exchange
Kyle, Albert S.; Lee, Jeongmin - In: Oxford review of economic policy 33 (2017) 4, pp. 650-675
Persistent link: https://www.econbiz.de/10011952562
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Microstructural dynamics in a foreign exchange electronic broking system
Goodhart, Charles A. E. - In: Journal of international money and finance 15 (1996) 6, pp. 829-852
Persistent link: https://www.econbiz.de/10001216676
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Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data
Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57
Persistent link: https://www.econbiz.de/10012127871
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Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book
Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1044-1081
Persistent link: https://www.econbiz.de/10014370626
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Intraday liquidity patterns in limit order books
Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71
Persistent link: https://www.econbiz.de/10010258798
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Optimal order display in limit order markets with liquidity competition
Cebiroglu, Gökhan; Horst, Ulrich - In: Journal of economic dynamics & control 58 (2015), pp. 81-100
Persistent link: https://www.econbiz.de/10011574644
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Market impact : a systematic study of limit orders
Said, Emilio; Bel Hadj Ayed, Ahmed; Husson, Alexandre; … - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-33
Persistent link: https://www.econbiz.de/10011988894