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arXiv · 2304.01907

Dynamical properties of volume at the spread in the Bitcoin/USD market

Roberto Mota Navarro·Francois Leyvraz·Hernán Larralde
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Abstract

The study of order volumes in financial markets has shown that these display several non-trivial statistical properties. Most studies have been focused on the bulk properties of volume of incoming orders or of realized transactions rather than the dynamical aspects. The present work is a study of the dynamical properties of volume. Unlike previous works, we studied the volume available at the spread rather than the volume of incoming orders or of realized transactions. We found evidence that suggests mean reverting volume changes and strong asymmetries in the equilibrium of sell and buy orders as well as the presence of clustering.

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Roberto Mota Navarro, Francois Leyvraz, Hernán Larralde. 2023-04-04. Dynamical properties of volume at the spread in the Bitcoin/USD market. https://arxiv.org/abs/2304.01907

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