Fragmentation, price formation and cross-impact in bitcoin markets
In the light of micro-scale inefficiencies due to the highly fragmented bitcoin trading landscape, we use a granular data set comprising orderbook and trades data from the most liquid bitcoin markets, to understand the price formation process at sub-1-second time scales. To this end, we construct a...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Taylor and Francis
2022
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