Nothing but Noise? Price Discovery between Cryptocurrency Exchanges

47 Pages Posted: 24 Apr 2020

See all articles by Thomas Dimpfl

Thomas Dimpfl

University of Hohenheim

Franziska J. Peter

Zeppelin University

Date Written: February 21, 2020


We examine the price discovery contributions of cryptocurrency exchanges in the presence of market microstructure noise. Cryptocurrency markets exhibit a decisively higher level of microstructure noise compared to the New York Stock Exchange or NASDAQ. Therefore, traditional measures of price discovery are potentially biased. To overcome this concern, we draw on the information leadership share (ILS) proposed by Putninš [2013, J.Emp.Fin]. Based on the ILS, we find that Bitfinex is the leader in the price discovery process. Our results highlight the importance of accounting for different levels of noise when evaluating price discovery contributions

Keywords: price discovery, cryptocurrency, Bitcoin, information share, microstructure noise

JEL Classification: C32, G14, G15

Suggested Citation

Dimpfl, Thomas and Peter, Franziska, Nothing but Noise? Price Discovery between Cryptocurrency Exchanges (February 21, 2020). Available at SSRN: or

Thomas Dimpfl

University of Hohenheim ( email )


Franziska Peter (Contact Author)

Zeppelin University ( email )

Am Seemooser Horn 20
Friedrichshafen, Lake Constance 88045

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