Informed trading in the Bitcoin market

被引：120
作者：
Feng, Wenjun [1 ]
Wang, Yiming [1 ]
Zhang, Zhengjun [2 ]
机构：
[1] Peking Univ, Sch Econ, 5 Yiheyuan Rd, Beijing 100871, Peoples R China
[2] Univ Wisconsin, Dept Stat, 1300 Univ Ave, Madison, WI 53706 USA
来源：
FINANCE RESEARCH LETTERS | 2018年 / 26卷
基金：
美国国家科学基金会; 中国国家自然科学基金;
关键词：
Bitcoin; Cryptocurrency; Informed trading; ANNOUNCEMENTS; INFORMATION; NEWS; LIQUIDITY; RETURNS; STOCKS;
D O I：
10.1016/j.frl.2017.11.009
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Bitcoin's price sensitivity to the material events makes informed trading very profitable in this new market. We propose a novel indicator to assess informed trades ahead of cryptocurrency-related events. Using trade-level data of USD/BTC exchange rates, we find evidence of informed trading in the Bitcoin market prior to large events: Quantiles of the order sizes of buyer-initiated (seller-initiated) orders are abnormally high before large positive (negative) events, compared to the quantiles of seller-initiated (buyer-initiated) orders. When examining the timing of informed trades, we further notice that informed traders prefer to build their positions two days before large positive events and one day before large negative events. The profits of informed trading in the Bitcoin market are estimated to be considerably large.
引用
收藏
页码：63 / 70
页数：8
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