University of Illinois Chicago, Chicago, Illinois, United States of America.
PLoS One. 2021 Aug 12;16(8):e0255515. doi: 10.1371/journal.pone.0255515. eCollection 2021.
Liquid markets are driven by information asymmetries and the injection of new information in trades into market prices. Where market matching uses an electronic limit order book (LOB), limit orders traders may make suboptimal price and trade decisions based on new but incomplete information arriving with market orders. This paper measures the information asymmetries in Bitcoin trading limit order books on the Kraken platform, and compares these to prior studies on equities LOB markets. In limit order book markets, traders have the option of waiting to supply liquidity through limit orders, or immediately demanding liquidity through market orders or aggressively priced limit orders. In my multivariate analysis, I control for volatility, trading volume, trading intensity and order imbalance to isolate the effect of trade informativeness on book liquidity. The current research offers the first empirical study of Glosten (1994) to yield a positive, and credibly large transaction cost parameter. Trade and LOB datasets in this study were several orders of magnitude larger than any of the prior studies. Given the poor small sample properties of GMM, it is likely that this substantial increase in size of datasets is essential for validating the model. The research strongly supports Glosten's seminal theoretical model of limit order book markets, showing that these are valid models of Bitcoin markets. This research empirically tested and confirmed trade informativeness as a prime driver of market liquidity in the Bitcoin market.
流动性市场受到信息不对称以及交易中注入新信息对市场价格的影响。在市场撮合采用电子限价订单簿 (LOB) 的情况下，限价订单交易者可能会根据带有市场订单的新但不完整的信息做出次优的价格和交易决策。本文在 Kraken 平台上衡量了比特币交易限价订单簿中的信息不对称程度，并将其与之前对股票 LOB 市场的研究进行了比较。在限价订单簿市场中，交易者可以选择通过限价订单等待提供流动性，或者通过市价订单或价格激进的限价订单立即要求流动性。在我的多元分析中，我控制了波动性、交易量、交易强度和订单不平衡，以隔离交易信息量对簿流动性的影响。本研究提供了对 Glosten（1994）的首次实证研究，得出了一个积极的、可信的大交易成本参数。本研究中的交易和 LOB 数据集比之前的任何研究都大几个数量级。考虑到 GMM 的小样本特性较差，数据集的这种大幅增加很可能是验证模型的必要条件。该研究有力地支持了 Glosten 关于限价订单簿市场的开创性理论模型，表明这些模型是比特币市场的有效模型。本研究通过实证检验和确认了交易信息量是比特币市场流动性的主要驱动因素。
