Dissertation Defense: Zhi Chen

Dissertation Defense: Zhi Chen

Major: Economics

Advisor: John Rust, Ph.D.

Title: Flickering Quotes in Crypto-currency Trading

This paper provides a comprehensive documentation of crypto-currency market microstructure and intraday trading patterns. We collect a unique order-level data set from one of the major US-based crypo-currency exchanges which enables us to reconstruct the limit order book and track the behaviour of each individual limit order. To our knowledge this is the first paper that takes advantage of order level data from crypto-currency exchanges. We find extensive HFT footprints in the crypto trading space where orders are generally short-lived. We also find BCH market differs from other crypto markets by multiple market quality measurements. Our paper also contributes to the literature that studies the reasons of limit order cancellations by estimating a Cox proportional hazard model to our data. We find that orders get cancelled due to evolution of the limit order book. In particular, orders react to quotes change and adverse selection risk in mixed ways. Our results differ significantly from the previous study on this subject and provides new insight to the landscape of crypto-currency trading in a low-latency environment.

Monday, December 9 at 2:30pm to 4:00pm

Edward B. Bunn, S.J. Intercultural Center, 550
37th and O St., N.W., Washington

Event Type

Academic Events, Dissertation Defense

Departments

Georgetown College, History, Graduate School of Arts and Sciences, Graduate Thesis and Dissertation Defense

Cost

Free

Open to the public and the press?

Yes

Event Contact Name

Julius Shapiro

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