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Order Flow and the Bitcoin Spot Rate
Applied Economics and Finance
View Archive Info| Field | Value | |
| Title |
Order Flow and the Bitcoin Spot Rate
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| Creator |
McIntyre, K. H.
Harjes, Kristine |
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| Description |
Bitcoin is a decentralized, open-source cryptocurrency used to make private, peer-to-peer transactions anywhere across the world. Although the individuals involved are (mostly) anonymous, every Bitcoin transaction is a matter of public record; anyone can view every Bitcoin transaction ever made. Following the methodology developed by Evans and Lyons (2002), this paper adapts and estimates a FX microstructure model that emphases order flow, the difference between buyer- and seller-initiated trading volume, to the Bitcoin market Using a data set consisting of all major currency transactions occurring on the Mt. Gox exchange, our results are quite similar to prior microfinance research on traditional currencies insofar order flow is a significant determinant of Bitcoin spot rates.
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| Publisher |
Redfame Publishing
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| Contributor |
—
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| Date |
2016-04-25
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://redfame.com/journal/index.php/aef/article/view/1574
10.11114/aef.v3i3.1574 |
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| Source |
Applied Economics and Finance; Vol 3, No 3 (2016); 136-147
2332-7308 2332-7294 |
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| Language |
eng
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| Relation |
http://redfame.com/journal/index.php/aef/article/view/1574/1596
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