Bitcoin Market Microstructure

25 Pages Posted: 11 Apr 2017

See all articles by Thomas Dimpfl

Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics

Date Written: April 10, 2017

Abstract

Bitcoin is traded on exchanges which use an open limit order book. This paper investigates the microstructure of various bitcoin markets with respect to liquidity and private information processing. The markets are found to be fairly liquid, providing liquidity at a stable rate throughout the 24 hours trading period. The spread itself as well as the proportion attributed to adverse selection costs are high suggesting that private information is an important aspect in the bid-ask spread.

Keywords: adverse selection, Bitcoin, liquidity, market microstructure

JEL Classification: C58, E44, F31

Suggested Citation

Dimpfl, Thomas, Bitcoin Market Microstructure (April 10, 2017). Available at SSRN: https://ssrn.com/abstract=2949807 or http://dx.doi.org/10.2139/ssrn.2949807

Thomas Dimpfl (Contact Author)

University of Tuebingen - Department of Statistics and Econometrics ( email )

Germany

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