We study trading of Bitcoin (BTC) against US dollar (USD) on exchanges 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...

We show that low-frequency measures of cryptocurrency liquidity perform adequately in describing high-frequency actual liquidity. We calculate benchmark measures from high-frequency order book data and document the performance of low-frequency transactions measures. The Abdi and Ranaldo (2017)...

The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent of new trading venues and significant changes in the market shares of existing ones. We use an extensive panel dataset from the European equity markets to analyze the market...

We analyze price discovery in floor-based and electronic exchanges using data from the German stock market. We find that both markets contribute to price discovery. There is bidirectional Granger causality, and prices from both markets adjust to deviations from the long-run equilibrium. We use...