Bitcoin Spot and Futures Market Microstructure

Journal of Futures Markets (Forthcoming)

56 Pages Posted: 3 Oct 2019 Last revised: 14 Sep 2020

See all articles by Saketh Aleti

Saketh Aleti

Duke University, Department of Economics

Bruce Mizrach

Rutgers University, Department of Economics

Date Written: September 12, 2020

Abstract

We study Bitcoin (BTC) trading at the CME and four settlement spot exchanges that transact $146 million per day in the BTC/USD pair. Spot market median trade sizes are under $1,300 but exceed $18,000 on the CME. Bid-ask spreads average 0.0298%.Trade sizes of over $1 million move markets by less than 1%. 2.5% of trades and 15.5% of cancellations on Coinbase take place within 50 milliseconds. Bid-ask spreads exceed 0.8% for only 226 seconds. Most executions trade-through better quotes, with estimated losses of $36 million. The CME leads price discovery. BTC leads ETH price adjustment.

Keywords: Bitcoin, futures, market microstructure, cryptocurrency

JEL Classification: G10, G15

Suggested Citation

Aleti, Saketh and Mizrach, Bruce, Bitcoin Spot and Futures Market Microstructure (September 12, 2020). Journal of Futures Markets (Forthcoming), Available at SSRN: https://ssrn.com/abstract=3459111 or http://dx.doi.org/10.2139/ssrn.3459111

Saketh Aleti

Duke University, Department of Economics ( email )

Durham, NC
United States

Bruce Mizrach (Contact Author)

Rutgers University, Department of Economics ( email )

75 Hamilton Street
New Brunswick, NJ 08901
United States
(848) 932-8636 (Phone)
(732) 932-7416 (Fax)

HOME PAGE: http://snde.rutgers.edu/

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