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

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

doi:10.1080/14697688.2022.2044506

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

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

The Swiss Institute for Dryland Environmental and Energy Research

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	1343-1354
Number of pages	12
Journal	Quantitative Finance
Volume	22
Issue number	7
DOIs	https://doi.org/10.1080/14697688.2022.2044506
State	Published - 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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10.1080/14697688.2022.2044506

Cite this

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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.",

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

Abstract

Keywords

ASJC Scopus subject areas

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