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Bitcoin spot and futures market microstructure

Publication ,  Journal Article
Aleti, S; Mizrach, B
Published in: Journal of Futures Markets
February 1, 2021

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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Published In

Journal of Futures Markets

DOI

EISSN

1096-9934

ISSN

0270-7314

Publication Date

February 1, 2021

Volume

41

Issue

2

Start / End Page

194 / 225

Related Subject Headings

  • Finance
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
 

Citation

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Chicago
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Aleti, S., & Mizrach, B. (2021). Bitcoin spot and futures market microstructure. Journal of Futures Markets, 41(2), 194–225. https://doi.org/10.1002/fut.22163
Aleti, S., and B. Mizrach. “Bitcoin spot and futures market microstructure.” Journal of Futures Markets 41, no. 2 (February 1, 2021): 194–225. https://doi.org/10.1002/fut.22163.
Aleti S, Mizrach B. Bitcoin spot and futures market microstructure. Journal of Futures Markets. 2021 Feb 1;41(2):194–225.
Aleti, S., and B. Mizrach. “Bitcoin spot and futures market microstructure.” Journal of Futures Markets, vol. 41, no. 2, Feb. 2021, pp. 194–225. Scopus, doi:10.1002/fut.22163.
Aleti S, Mizrach B. Bitcoin spot and futures market microstructure. Journal of Futures Markets. 2021 Feb 1;41(2):194–225.
Journal cover image

Published In

Journal of Futures Markets

DOI

EISSN

1096-9934

ISSN

0270-7314

Publication Date

February 1, 2021

Volume

41

Issue

2

Start / End Page

194 / 225

Related Subject Headings

  • Finance
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment