Market impact

Financial system

Liquidity risk

Biology

Stock market

Computer security

Cryptocurrency

Market maker

Accounting liquidity

Economics

Computer science

Market liquidity

Liberian dollar

Business

Paleontology

Market microstructure

Political science

Monetary economics

Econometrics

Horse

Financial economics

Liquidity premium

Finance

Equity (law)

Order (exchange)

Liquidity crisis

Journal of Empirical Finance

We study bitcoin to US dollar (BTCUSD) liquidity and liquidity determinants using order book data from three large cryptocurrency exchanges. The BTCUSD market is more liquid than US equity markets with bid–ask spreads often below 1 basis point. We find that BTCUSD liquidity is largely explained by same-exchange past liquidity, past cryptocurrency market-wide liquidity and volatility, and fees charged on the blockchain for bitcoin transfers. Surprisingly, we find that BTCUSD liquidity is unrelated to broader financial markets and financial market liquidity.

Bitcoin unchained: Determinants of cryptocurrency exchange liquidity