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Reconstruction of order flows using aggregated data

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Understanding jumps in high frequency digital asset markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...

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When bigger is better : the impact of a tiny tick size on undercutting behavior

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Optimal trade execution in cryptocurrency markets

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A million metaorder analysis of market impact on the Bitcoin

Donier, J.; Bonart, J. - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-29

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Microstructure of foreign exchange markets

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Connecting equity and foreign exchange markets through the WM "Fix" : a trading strategy

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