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A High-Frequency Analysis of Bitcoin Markets
| Content Provider | Scilit |
|---|---|
| Author | Brauneis, Alexander Mestel, Roland Riordan, Ryan Theissen, Erik |
| Copyright Year | 2019 |
| Description | Journal: SSRN Electronic Journal We study trading of Bitcoin (BTC) against US dollar (USD) on ex- changes on three continents, Bitfinex, Bitstamp and Coinbase Pro. We use a high frequency dataset that contains transactions and order book information. The BTCUSD market is highly liquid in terms of bid-ask spreads and order book depth. While spreads are low, markets are not integrated. Persistent differences exist between the three exchanges in terms of transaction and posted prices, and markets are crossed most of the time. The liquidity of the Bitcoin exchanges is predominantly deter- mined by local factors and is essentially independent of liquidity in equity and FX markets. |
| Related Links | https://static.uni-graz.at/fileadmin/sowi/Working_Paper/2018-06_Brauneis_Mestel_Riordan_Theissen.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3478514 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3478514 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2019-06-04 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |