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Order Flow Toxicity of the Bitcoin April Crash

jheusser.github.io · 1,991 words · saved by 1 readers

This article describes a frequently discussed measure of informed trading in the financial world and how it can be applied to Bitcoin data. The described technique received a lot of publicity (reuters, bloomberg, cornell, tabbforum) in the last years as some authors praised it to be a good leading indicator of financial crashes.

Order Flow Toxicity of the Bitcoin April Crash Jonathan Heusser home Order Flow Toxicity of the Bitcoin April Crash 13 October 2013 Introduction This article describes a frequently discussed measure of informed trading in the financial world and how it can be applied to Bitcoin data. The described technique received a lot of publicity ( reuters , bloomberg , cornell , tabbforum ) in the last years as some authors praised it to be a good leading indicator of financial crashes. As Bitcoin suffers under frequent mini crashes it would be useful for traders and investors alike to have such an indic

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