A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf
.
Order flow analysis of cryptocurrency markets
2019
Digital Finance
Order flow analysis studies the impact of individual order book events on resulting price change. Using data acquired from BitMex, the largest cryptocurrency exchange by traded volume, the study conducts an in-depth analysis on the trade and quote dataof the XBTUSD perpetual contract. The study demonstrates that the trade flow imbalance is better at explaining contemporaneous price changes than the aggregate order flow imbalance. Overall, the contemporaneous price change exhibits a strong
doi:10.1007/s42521-019-00007-w
fatcat:3xaul7ndhbfahayx52hgzu27gy