High-Frequency Jump Analysis of the Bitcoin Market

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 induce a persistent change in the price

A 9-dimension grid for the evaluation of central bank digital currencies

Blockchain technology offers new opportunities for the development of central bank digital currencies (CBDCs). Although discussion on the matter is still in its early stages, researchers and practitioners have proposed possible frameworks via which to explore the potential of this new form of money for central banks and governments. Since blockchain technology is very broad, central banks can conceive of many different blockchain types to sustain CBDC, and the decisions taken by a central bank at a technical level determine the economic possibilities of the resulting monetary system. In other words, the technical attributes of a blockchain have crucial implications for the monetary system that such a blockchain might sustain. In this article, we propose a grid that identifies nine fundamental technical dimensions to be assessed by central banks when establishing a digital currency system based on blockchain technology, and that analyzes the different implications for the central bank as it moves through each of the identified dimensions. Our objective is to offer this grid as a tool to aid in the structured, conceptual, and technical development of national currencies based on blockchain. By way of illustration, we use the grid to analyze three practical scenarios that significantly vary in their implications for the monetary system

High-frequency and high-dimensionality in Finance

The Thesis consists in two fundamental chapters: First, I analyze the presence of jumps in high-frequency financial series, with an extensive application to most liquid American equities. I develop a statistical test that formally treats the multiple testing issue and show, in substance, that discontinuities are much rarer events than previously thought. Second, I introduce a novel, scalable numerical pricing framework for American options under multi-factor models. I make use of adaptive sparse grids to alleviate the curse of dimensionality. My methodology offers a new direction for research in the pricing of derivative contracts with early-exercise features under models actually capable of fitting statistical properties of financial series

High-Frequency Jump Analysis of the Bitcoin Market*

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