A High-Frequency Analysis of Bitcoin Markets

We study trading of Bitcoin (BTC) against US dollar (USD) on ex-changes on three continents, Bitfinex, Bitstamp and Coinbase Pro. We use a high frequency dataset that contains transactions and order book information. The BTCUSD market is highly liquid in terms of bid-ask spreads and order book depth. While spreads are low, markets are not integrated. Persistent differences exist between the three exchanges in terms of transaction and posted prices, and markets are crossed most of the time. The liquidity of the Bitcoin exchanges is predominantly deter-mined by local factors and is essentially independent of liquidity in equity and FX markets.