IDEAS home Printed from https://ideas.repec.org/a/spr/digfin/v1y2019i1d10.1007_s42521-019-00007-w.html
   My bibliography  Save this article

Order flow analysis of cryptocurrency markets

Author

Listed:
  • Eduard Silantyev

    () (Thalesians Ltd.
    BNP Paribas
    London Institute of Banking and Finance)

Abstract

Abstract Order flow analysis studies the impact of individual order book events on resulting price change. Using data acquired from BitMex, the largest cryptocurrency exchange by traded volume, the study conducts an in-depth analysis on the trade and quote data of the XBTUSD perpetual contract. The study demonstrates that the trade flow imbalance is better at explaining contemporaneous price changes than the aggregate order flow imbalance. Overall, the contemporaneous price change exhibits a strong linear relationship with the order flow imbalance over large enough time intervals. Lack of depth and low update arrival rates in cryptocurrency markets are found to be the main differentiators between the nascent asset class market microstructure and that of the established markets.

Suggested Citation

  • Eduard Silantyev, 2019. "Order flow analysis of cryptocurrency markets," Digital Finance, Springer, vol. 1(1), pages 191-218, November.
  • Handle: RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00007-w
    DOI: 10.1007/s42521-019-00007-w
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s42521-019-00007-w
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00007-w. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Springer Nature Abstracting and Indexing). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.