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- W2996545396 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." @default.
- W2996545396 created "2019-12-26" @default.
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- W2996545396 date "2020-01-01" @default.
- W2996545396 modified "2023-09-25" @default.
- W2996545396 title "Bitcoin Spot and Futures Market Microstructure" @default.
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- W2996545396 doi "https://doi.org/10.2139/ssrn.3459111" @default.
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