Abstract
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.
| Original language | American English |
|---|---|
| Pages (from-to) | 194-225 |
| Number of pages | 32 |
| Journal | Journal of Futures Markets |
| Volume | 41 |
| Issue number | 2 |
| DOIs | |
| State | Published - Feb 2021 |
ASJC Scopus subject areas
- Accounting
- General Business, Management and Accounting
- Finance
- Economics and Econometrics
Keywords
- Bitcoin
- cryptocurrency
- futures
- market microstructure