Thomas Dimpfl

finance seminar

Thomas Dimpfl

University of Tübingen
Nothing but noise? Price discovery between cryptocurrency exchanges
Co-écrit avec
Franziska J. Peter
Lieu

Château Lafarge

Château Lafarge - Salle de séminaires
Château Lafarge
Route des Milles
13290 Les Milles
Date(s)
Mardi 10 décembre 2019| 14:30
Contact(s)

Jean-François Carpantier : jean-francois.carpantier[at]univ-amu.fr
Eric Girardin : eric.girardin[at]univ-amu.fr

Résumé

We examine the relationship between price discovery contributions of three cryptocurrency exchanges and their noise levels using high frequency data. We document a strong correlation between an exchange’s the relative noise level and the standard measures for price discovery. When implementing the information leadership share proposed by Putnin, š [2013], which reduces the potential bias caused by noise avoidance, the informational leadership of Bitfinex and Kraken in comparison to those of Poloniex reduce substantially, presumably due to the higher relative noise level on Poloniex. Our results highlight the importance of accounting for different levels of noise, when evaluating price discovery contributions.