no code implementations • 22 Aug 2021 • Jakob Albers, Mihai Cucuringu, Sam Howison, Alexander Y. Shestopaloff
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to understand the price formation process at sub-1 second time scales.
