Adverse selection in cryptocurrency markets
研究了信息不对称对加密货币市场未来波动性、流动性、市场毒性和收益的影响，发现逆向选择成本约占有效价差的10%，对交易成本有显著经济影响。
Abstract In this article we investigate the influence that information asymmetry may have on future volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the adverse‐selection component of the effective spread as a proxy for overall information asymmetry. Using order and trade data from the Bitfinex exchange, we first document statistically significant adverse‐selection costs for major cryptocurrencies. Also, our results suggest that adverse‐selection costs, on average, correspond to 10% of the estimated effective spread, indicating an economically significant impact of adverse‐selection risk on transaction costs in cryptocurrency markets. Finally, we document that adverse‐selection costs are important predictors of intraday volatility, liquidity, market toxicity, and returns.