Time-dependent relations between gaps and returns in a Bitcoin order book

Roberto Mota-Navarro, Paulino Monroy-Castillero, Francois Leyvraz

Research output: Contribution to journalArticlepeer-review

Abstract

Several studies have shown that large changes in the returns of an asset are associated with the sized of the gaps present in the order book. In general, these associations have been studied without explicitly considering the dynamics of either gaps or returns. Here we present a study of these relationships. Our results suggest that the causal relationship between gaps and returns is limited to instantaneous causation.

Original languageEnglish
Pages (from-to)1343-1354
Number of pages12
JournalQuantitative Finance
Volume22
Issue number7
DOIs
StatePublished - 1 Jan 2022

Keywords

  • Causal discovery methods
  • Large price changes
  • Order book gaps

ASJC Scopus subject areas

  • Finance
  • General Economics, Econometrics and Finance

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