Berlin 2015 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 8: Poster

SOE 8.7: Poster

Montag, 16. März 2015, 18:00–20:00, Poster E

Empirical analysis of the order book and order flow of a Bitcoin marketplace and comparison with traditional markets — •Alexander Eckrot, Jan Jurczyk, and Ingo Morgenstern — University of Regensburg, Germany

Bitcoin marketplaces have some features that distinguish them from traditional marketplaces. Examples of this features are: Very high transparency, low trading volumes, 24 hours of trading a day without free days. Especially the high trading transparency makes this marketplaces a good resource for collecting data about the order book and order flow. We collected about 1,2 Million snapshots of order books for a Bitcoin marketplace from June to September 2014. The snapshots have a time interval of 7 seconds, which is small enough to reconstruct the order flow. We analyze these order books and compare our results with traditional stock markets.