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

TL;DR

This paper investigates the dynamic behavior of volume at the spread in the Bitcoin/USD market, revealing mean reversion, asymmetries, and clustering, which differ from prior bulk volume studies.

Contribution

It introduces a novel focus on the volume at the spread and uncovers its unique dynamical properties, including mean reversion and order asymmetries.

Findings

Evidence of mean reverting volume changes

Strong asymmetries in buy and sell order equilibrium

Presence of clustering in volume dynamics

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.