Not so fast: Identifying and remediating slow and imprecise cryptocurrency exchange data

【Author】 Foley, Sean; Krekel, William; Mollica, Vito; Svec, Jiri

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Using raw tick-level trade data from 17 major cryptocurrency exchanges, we show that heterogeneity in matching engines can affect the compu-tation of various liquidity and trading metrics. Using simple analytical techniques, we generate an algorithm to identify exchanges with slow matching engines or imprecise timestamps. Having identified problematic exchanges, we propose tractable techniques which can remediate the bias in metrics generated by problematic exchanges. Our techniques and exchange classifications are useful for academic and industry-based users of cryptocurrency exchange data to identify and remediate problematic trade-level data.

【Keywords】

【发表时间】2023 JAN

【收录时间】2023-05-30

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析