A High-Frequency Analysis of Bitcoin Markets

30 Pages Posted: 7 Oct 2018

See all articles by Alexander Brauneis

Alexander Brauneis

University of Klagenfurt

Roland Mestel

University of Graz

Ryan Riordan

Smith School of Business

Erik Theissen

University of Mannheim - Finance Area

Date Written: September 14, 2018

Abstract

We study Bitcoin (BTC) exchanges on three continents, Bit nex, 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 nd 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%.

Keywords: Bitcoin, Cryptocurrencies, Liquidity, Bid-Ask Spread

JEL Classification: G10, G12

Suggested Citation

Brauneis, Alexander and Mestel, Roland and Riordan, Ryan and Theissen, Erik, A High-Frequency Analysis of Bitcoin Markets (September 14, 2018). Available at SSRN: https://ssrn.com/abstract=3249477 or http://dx.doi.org/10.2139/ssrn.3249477

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

Smith School of Business ( email )

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

Erik Theissen

University of Mannheim - Finance Area ( email )

Mannheim, 68131
Germany

Register to save articles to
your library

Register

Paper statistics

Downloads
207
rank
144,982
Abstract Views
721
PlumX Metrics