Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets

DOI10.1080/1350486X.2022.2080083zbMath1498.91410arXiv2108.09750OpenAlexW3193375652MaRDI QIDQ5103917

Alexander Y. Shestopaloff, Mihai Cucuringu, Jakob Albers, S. D. Howison

Publication date: 9 September 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.09750

zbMATH Keywords

high frequency datamarket microstructuremarket fragmentationbitcoinlimit orderbooks

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• More statistical properties of order books and price impact
• Statistical properties of stock order books: empirical results and models
• Optimal execution strategies in limit order books with general shape functions
• The elements of statistical learning. Data mining, inference, and prediction
• Unnamed Item

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