Bitcoin unchained: Determinants of cryptocurrency exchange liquidity
利用三大加密货币交易所的订单簿数据，研究比特币兑美元市场的流动性及其决定因素，发现其流动性优于美国股票市场，且主要受自身历史流动性、加密货币市场整体流动性和波动性以及区块链转账费用影响，与更广泛的金融市场无关。
We study bitcoin to US dollar (BTCUSD) liquidity and liquidity determinants using order book data from three large cryptocurrency exchanges. The BTCUSD market is more liquid than US equity markets with bid–ask spreads often below 1 basis point. We find that BTCUSD liquidity is largely explained by same-exchange past liquidity, past cryptocurrency market-wide liquidity and volatility, and fees charged on the blockchain for bitcoin transfers. Surprisingly, we find that BTCUSD liquidity is unrelated to broader financial markets and financial market liquidity.