Buying Bitcoin

22 Pages Posted: 28 Mar 2019

See all articles by Robert Gutmann

Robert Gutmann

New York Digital Investment Group; Stone Ridge

Jonathan Knehr

New York Digital Investment Group

Phillip Rapoport

New York Digital Investment Group

Ross L. Stevens

Stone Ridge; New York Digital Investment Group

Date Written: February 1, 2019

Abstract

Using live trade execution data from an institutional money manager, we measure the real-world costs and challenges a trader faces when demanding significant liquidity of Bitcoin. We provide a novel characterization of the market to purchase digital assets across exchanges and over-the-counter (“OTC”) dealers. We find that most displayed digital asset liquidity on exchanges is not readily accessible to institutional investors. However, by purchasing digital assets OTC from regulated counterparties, institutional investors can achieve comparable or better execution quality while fulfilling their fiduciary obligations.

Keywords: bitcoin, cryptocurrency, digital assets, trading, microstructure, institutional investor, bitcoin exchange

JEL Classification: G12, E4, G23

Suggested Citation

Gutmann, Robert and Knehr, Jonathan and Rapoport, Phillip and Stevens, Ross L., Buying Bitcoin (February 1, 2019). Available at SSRN: https://ssrn.com/abstract=3346668 or http://dx.doi.org/10.2139/ssrn.3346668

Robert Gutmann

New York Digital Investment Group ( email )

New York, NY
United States

Stone Ridge ( email )

510 Madison Ave
New York, NY 10022
United States

Jonathan Knehr (Contact Author)

New York Digital Investment Group ( email )

New York, NY
United States

Phillip Rapoport

New York Digital Investment Group ( email )

New York, NY
United States

Ross L. Stevens

Stone Ridge ( email )

New York, NY
United States

New York Digital Investment Group ( email )

New York, NY
United States

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