比特币现货和期货市场微观结构

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-09-12 DOI:10.2139/ssrn.3459111

Saketh Aleti, Bruce Mizrach

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引用次数: 22

摘要

我们研究了比特币(BTC)在芝加哥商品交易所(CME)和四家结算现货交易所的交易，这些交易所每天在BTC/美元对中交易1.46亿美元。现货市场交易规模中值低于1,300美元，但在芝加哥商品交易所超过18,000美元。买卖价差平均为0.0298%。超过100万美元的交易规模对市场的影响不到1%。Coinbase上2.5%的交易和15.5%的取消发生在50毫秒内。买卖价差仅在226秒内超过0.8%。大多数处决都是通过更好的报价进行交易的，估计损失为3,600万美元。芝加哥商品交易所引领价格发现。BTC引领ETH价格调整

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Bitcoin Spot and Futures Market Microstructure

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.

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ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)

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