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A High-Frequency Analysis of Bitcoin Markets

Author

Listed:
  • Alexander Brauneis

    (Department of Finance and Accounting, Alpen-Adria University Klagenfurt)

  • Roland Mestel

    (Institute of Banking and Finance, Karl-Franzens-University Graz)

  • Ryan Riordan

    (Smith School of Management, Queens University)

  • Erik Theissen

    (Institute of Banking and Finance, University of Graz
    Finance Area, University of Mannheim)

Abstract

We study Bitcoin (BTC) exchanges on three continents, Bitfinex, Bitstamp and GDAX. We use a high frequency dataset that contains both transactions data and snapshots of the BTC to US dollar (BTCUSD) order book. The BTCUSD market is highly liquid in terms of bid-ask spreads and order book depth. While spreads are low, we find large differences between the three exchanges in terms of transaction and posted prices. The price differences fall over our sample period meaning that markets are becoming more integrated. We show that exchanges play an increasingly important role in the transfer of BTC. At the end of 2017, exchanges processed roughly 30% of BTC transfers at the end of our sample period this increases to 90%.

Suggested Citation

  • Alexander Brauneis & Roland Mestel & Ryan Riordan & Erik Theissen, 2018. "A High-Frequency Analysis of Bitcoin Markets," Working Paper Series, Social and Economic Sciences 2018-06, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  • Handle: RePEc:grz:wpsses:2018-06
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    References listed on IDEAS

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    Cited by:

    1. Julia Reynolds & Leopold Sögner & Martin Wagner, 2021. "Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 105-146, April.
    2. Helmut Stix, 2021. "Ownership and purchase intention of crypto-assets: survey results," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(1), pages 65-99, February.
    3. Saketh Aleti & Bruce Mizrach, 2021. "Bitcoin spot and futures market microstructure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 194-225, February.

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