Liquidity uncertainty and Bitcoin’s market microstructure

Koutmos, Dimitrios

doi:10.1016/j.econlet.2018.08.041

Cited by 45 publications

(23 citation statements)

References 15 publications

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“…We see positive correlations for the bulk of the distribution, i.e., if uncertainty increases, the price of gold increases as well, and for extreme cases, even though the correlation drops, it still remains positive. Therefore, even if we forget about other issues connected to Bitcoin (such as low liquidity, exchange risk, and various legal and accounting/tax issues [15][16][17][18][19]), it does not outperform gold in any important aspect as a safehaven asset. The second comparison is to other stock indices, mostly to get the correct grasp of the scale of the correlations presented above.…”

Section: Discussionmentioning

confidence: 99%

Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

Krištoufek

2020

Front. Phys.

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Bitcoin being a safe-haven asset is one of the traditional stories in the cryptocurrency community. However, during its existence and relevant presence, i.e., approximately since 2013, there has been no severe situation on the financial markets globally to prove or disprove this story until the COVID-19 pandemic. We study the quantile correlations of Bitcoin and two benchmarks-the S&P 500 and VIX-and make comparison with gold as the traditional safe-haven asset. The Bitcoin safe haven story is shown and discussed to be unsubstantiated and far-fetched, while gold comes out as a clear winner in this contest even when a broader cryptocurrency index (CRIX) is considered.

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Section: Discussionmentioning

confidence: 99%

Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

Krištoufek

2020

Front. Phys.

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“…Easley, O'Hara, and Basu (2019) study transaction fees for blockchain miners. Koutmos (2018) measures liquidity uncertainty using microstructure variables such as the bid‐ask spread from Bitfinex. Makarov and Schoar (2020) study order book snapshots from 34 exchanges and offer stylized facts about crypto prices.…”

Section: Introductionmentioning

confidence: 99%

Bitcoin spot and futures market microstructure

Aleti

Mizrach

2020

Journal of Futures Markets

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We study Bitcoin (BTC) trading at the Chicago Mercantile Exchange (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 ms. Bid‐ask spreads exceed 0.8% for only 226 s. Most executions trade‐through better quotes, with estimated losses of $36 million. The CME leads price discovery. BTC leads Ethereum price adjustment.

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“…The purpose of this paper is to shed light on the microstructure of Bitcoin trading using a transaction based approach. This makes our study different from Koutmos (2018) or Brauneis et al (2020) who, on one hand, focus on liquidity, and, on the other hand, use regularly spaced transaction data for their analysis. Still, the link to this branch of the microstructure literature is the idea that trading conveys information.…”

Section: Introductionmentioning

confidence: 99%

“…Other studies like Nadarajah and Chu (2017) focus on market efficiency considering Bitcoin as an asset traded in an unregulated market. Efficiency is also related to market microstructure such as the technical mechanism and the frameworks of trading (Brauneis et al 2020;Koutmos 2018) as well as the market organization in general (Easley et al 2019).…”

Section: Introductionmentioning

confidence: 99%

Bitcoin Price Risk—A Durations Perspective

Dimpfl

Odelli

2020

JRFM

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An important aspect of liquidity is price risk, i.e., the risk that a small transaction leads to a large price change. This usually happens in a thin market, when trading opportunities are scarce and the time between subsequent trades is long. We rely on an autoregressive conditional duration model to extract the probability of a substantial price event in a particular time interval and, thus, an intraday risk profile. Our findings show that price risk is highest at times when European and U.S. investors do not trade. In a second step, we relate daily aggregates to characteristics of the Bitcoin blockchain and investigate whether investors account for features like confirmation time or fees when timing their orders.

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Liquidity uncertainty and Bitcoin’s market microstructure

Cited by 45 publications

References 15 publications

Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

Bitcoin spot and futures market microstructure

Bitcoin Price Risk—A Durations Perspective

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