Are Cryptocurrency Markets Running Behind the Fed? A Significant Shift in Crypto Markets Microstructure

22 Pages Posted: 2 Nov 2021

See all articles by Roland Grinis

Roland Grinis

GrinisRIT; MIPT

Andrei Kislitsyn

Saint Petersburg State University

Ilia Drozdov

Independent

Konstantin Shulga

Finery Markets

Date Written: October 20, 2021

Abstract

In this research we show that 2021 became a year when crypto markets significantly adjusted behavioural patterns, showing an increased institutional influence.
We have come to two key conclusions that might indicate significant changes in the cryptocurrency market microstructure.
Firstly, in contrast to recent research, we note that BTC/USD was sensitive to major Fed policy announcements in Q2-Q3 2021 similar to main asset classes.
Secondly, OTC Liquidity Providers tend to provide twice as narrow spreads in comparison to Centralised Crypto Exchanges during market volatility related to macroeconomic news.

Keywords: Cryptocurrency Markets, High Frequency Trading

JEL Classification: G14

Suggested Citation

Grinis, Roland and Kislitsyn, Andrei and Drozdov, Ilia and Shulga, Konstantin, Are Cryptocurrency Markets Running Behind the Fed? A Significant Shift in Crypto Markets Microstructure (October 20, 2021). Available at SSRN: https://ssrn.com/abstract=3951812 or http://dx.doi.org/10.2139/ssrn.3951812

Roland Grinis (Contact Author)

GrinisRIT ( email )

United Kingdom

MIPT ( email )

Institusky lane, 9
Dolgoprudny, Moskovskaya oblast
Russia

Andrei Kislitsyn

Saint Petersburg State University ( email )

7-9, Universitetskaya nab.
Saint Petersburg, 199034
Russia

Ilia Drozdov

Independent

Konstantin Shulga

Finery Markets ( email )

Cyprus

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