Order Book Liquidity on Crypto Exchanges

Martin Angerer (), Marius Gramlich and Michael Hanke
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Martin Angerer: Department Finance & Economics, University of Liechtenstein, Fürst-Franz-Josef-Strasse, 9490 Vaduz, Liechtenstein
Marius Gramlich: Department Finance & Economics, University of Liechtenstein, Fürst-Franz-Josef-Strasse, 9490 Vaduz, Liechtenstein
Michael Hanke: Department Finance & Economics, University of Liechtenstein, Fürst-Franz-Josef-Strasse, 9490 Vaduz, Liechtenstein

JRFM, 2025, vol. 18, issue 3, 1-29

Abstract: We analyze intraday liquidity for a range of cryptocurrencies across different exchanges. Among the liquidity measures used, order book variation is most interesting for crypto traders, as it directly impacts their profit/loss. We find evidence that order book variation 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.

Keywords: cryptocurrencies; liquidity; market microstructure (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
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