Public Information Arrival: Price Discovery and Liquidity in Electronic Limit Order Markets

SSRN Electronic Journal ◽

10.2139/ssrn.1620425 ◽

2011 ◽

Cited By ~ 4

Author(s):

Ryan Riordan ◽

Andreas Storkenmaier ◽

Martin Wagener

Keyword(s):

Price Discovery ◽

Public Information ◽

Limit Order ◽

Limit Order Markets

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Public information arrival: Price discovery and liquidity in electronic limit order markets

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2012.11.008 ◽

2013 ◽

Vol 37 (4) ◽

pp. 1148-1159 ◽

Cited By ~ 73

Author(s):

Ryan Riordan ◽

Andreas Storkenmaier ◽

Martin Wagener ◽

S. Sarah Zhang

Keyword(s):

Price Discovery ◽

Public Information ◽

Limit Order ◽

Limit Order Markets

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Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange

Journal of Risk and Financial Management ◽

10.3390/jrfm12040164 ◽

2019 ◽

Vol 12 (4) ◽

pp. 164 ◽

Cited By ~ 2

Author(s):

Eric Ghysels ◽

Giang Nguyen

Keyword(s):

Price Discovery ◽

Theoretical Models ◽

Secondary Market ◽

Market Liquidity ◽

Order Book ◽

Limit Order ◽

Limit Order Markets ◽

High Volatility ◽

Speculative Trading ◽

High Level

We examine price discovery and liquidity provision in the secondary market for bitcoin—an asset with a high level of speculative trading. Based on BTC-e’s full limit order book over the 2013–2014 period, we find that order informativeness increases with order aggressiveness within the first 10 tiers, but that this pattern reverses in outer tiers. In a high volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in response to the information asymmetry. We also find support to the Markovian learning assumption often made in theoretical models of limit order markets.

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