We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps are frequent events and they cluster in time. The order flow imbalance and the preponderance of aggressive traders, as well as a widening of the bid-ask spread predict them. Jumps have short-term positive impact on market activity and illiquidity and see a persistent change in the price.
@article{arxiv.1704.08175,
title = {High-Frequency Jump Analysis of the Bitcoin Market},
author = {Olivier Scaillet and Adrien Treccani and Christopher Trevisan},
journal= {arXiv preprint arXiv:1704.08175},
year = {2017}
}