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Understanding jumps in high frequency digital asset markets

Author

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  • Saef, Danial
  • Nagy, Odett
  • Sizov, Sergej
  • Härdle, Wolfgang

Abstract

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 clustered around black swan events, resembling volatility and trading volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction. This provides fundamental research for crypto option pricing models. However, we need better econometric methods for capturing the specific market microstructure of cryptos. All calculations are reproducible via the quantlet.com technology.

Suggested Citation

  • Saef, Danial & Nagy, Odett & Sizov, Sergej & Härdle, Wolfgang, 2021. "Understanding jumps in high frequency digital asset markets," IRTG 1792 Discussion Papers 2021-019, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    • Handle: RePEc:zbw:irtgdp:2021019
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    References listed on IDEAS

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    Cited by:

    1. Danial Saef & Yuanrong Wang & Tomaso Aste, 2022. "Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing," Papers 2208.12614, arXiv.org, revised Sep 2022.

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    Keywords

    jumps; market microstructure noise; high frequency data; cryptocurrencies; CRIX; option pricing;
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