A High-Frequency Analysis of Bitcoin Markets

39 Pages Posted: 31 Oct 2019

See all articles by Alexander Brauneis

Alexander Brauneis

University of Klagenfurt

Roland Mestel

University of Graz

Ryan Riordan

Queen's University - Smith School of Business; Ludwig-Maximilians-University Munich, Faculty of Business Administration (Munich School of Management)

Erik Theissen

University of Mannheim - Finance Area

Date Written: June 4, 2019

Abstract

We study trading of Bitcoin (BTC) against US dollar (USD) on exchanges 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 determined by local factors and is essentially independent of liquidity in equity and FX markets.

Suggested Citation

Brauneis, Alexander and Mestel, Roland and Riordan, Ryan and Theissen, Erik, A High-Frequency Analysis of Bitcoin Markets (June 4, 2019). Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Available at SSRN: https://ssrn.com/abstract=3478514 or http://dx.doi.org/10.2139/ssrn.3478514

Alexander Brauneis (Contact Author)

University of Klagenfurt ( email )

Universitaetsstrasse 65-67
Klagenfurt, 9020
Austria
+43 463 2700 4022 (Phone)
+43 463 2700 4092 (Fax)

HOME PAGE: http://www.aau.at/fin

Roland Mestel

University of Graz ( email )

Institute of Banking and Finance
Universitaetsstrasse 15/F2
A-8010 Graz
Austria
+43 316 380 7304 (Phone)
+43 316 380 9580 (Fax)

Ryan Riordan

Queen's University - Smith School of Business ( email )

Smith School of Business, Queen's University
143 Union Street
Kingston, Ontario K7L 3N6
Canada

Ludwig-Maximilians-University Munich, Faculty of Business Administration (Munich School of Management) ( email )

Schackstr. 4
Munich, 80539
Germany

Erik Theissen

University of Mannheim - Finance Area ( email )

Mannheim, 68131
Germany

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