Order Book Liquidity on Crypto Exchanges

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Gramlich, M., Angerer, M., & Hanke, M. (2021). Order Book Liquidity on Crypto Exchanges. Presented at the The 3rd Crypto Asset Lab Conference, Milan, Italy.


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We analyze intraday liquidity for a range of cryptocurrencies across different exchanges. Among the liquidity measures used, slippage is most interesting for crypto traders, as it directly impacts their profit/loss. We find evidence that slippage can be explained by liquidity measures indicating that trades are timed. We report various liquidity patterns that allow traders to increase their profits by minimizing liquidity-dependent trading costs. We further find indications that crypto exchanges can control liquidity by the number of offered currency pairs.



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