Conference Agenda

Please note that all times are shown in the time zone of the conference. The current conference time is: 1st Nov 2024, 12:01:25am CET

 
 
Session Overview
Session
MM 05: Crypto Markets
Time:
Friday, 18/Aug/2023:
10:30am - 12:00pm

Session Chair: Alfred Lehar, University of Calgary
Location: 2A-24 (floor 2)


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Presentations
ID: 1695

On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges

Andrea Barbon, Angelo Ranaldo

University of St.Gallen, Switzerland

Discussant: Peter Mueller (Fordham University)

We compare the market quality of centralized crypto exchanges (CEXs) such as Binance and Kraken to decentralized blockchain-based venues (DEXs) such as Uniswap v2 and v3.

After discussing the microstructure of such exchanges, we analyze two key aspects of market quality: transaction costs and deviations from the no-arbitrage condition.

We find that CEXs and DEXs operate on roughly equal footing in terms of transaction costs, particularly in light of recent innovations in DEX protocols.

Moreover, while CEXs provide superior price efficiency, DEXs eliminate custodian risk.

These complementary advantages may explain why both market structures coexist.

EFA2023_1695_MM 05_1_On The Quality Of Cryptocurrency Markets.pdf


ID: 1463

Price Discovery on Decentralized Exchanges

Agostino Capponi, Ruizhe Jia, Shihao Yu

Columbia University, United States of America

Discussant: Marius-Andrei Zoican (University of Toronto)

In contrast to centralized exchanges (CEXs) which match orders continuously following a price-time priority rule, decentralized exchanges (DEXs) process orders in discrete time and require traders to bid a blockchain priority fee to determine the execution priority of their orders. We employ a structural vector-autoregressive (structural VAR) model to provide evidence that blockchain fees attached to DEX trades reveal their private information, contributing to price discovery. We show that informed traders bid higher fees not only to avoid execution risk resulting from blockchain congestion but also to compete with each other. Using a unique dataset of Ethereum mempool orders, we further demonstrate that informed traders mostly compete on DEXs through a jump bidding strategy.

EFA2023_1463_MM 05_2_Price Discovery on Decentralized Exchanges.pdf


ID: 1861

Competition in the Market for Cryptocurrency Exchanges

Junyi Hu1, Anthony Lee Zhang2

1Fudan University; 2University of Chicago Booth School of Business

Discussant: Andreas Park (University of Toronto)

How do cryptocurrency exchanges compete with each other? We show that small and large crypto exchanges appear to be complements, rather than substitutes, as traditional oligopoly theory would predict. When large exchanges list new tokens, trade volumes on small exchanges increase, and small exchanges become more likely to list. We rationalize these facts in a model where small exchanges have captive customer bases, and rely on arbitrage trade with large exchanges for liquidity provision. Our results imply that large exchanges’ listing decisions play a systemically important “leader” role in determining trade volumes and listings on other exchanges.

EFA2023_1861_MM 05_3_Competition in the Market for Cryptocurrency Exchanges.pdf


 
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