14:00
Cryptocurrencies such as Bitcoin have only recently become a significant part of the financial landscape. Many billions of dollars are now traded daily on limit order-book markets such as Binance, and these are probably among the most open, liquid and transparent markets there are. They therefore make an interesting platform from which to investigate myriad questions to do with market microstructure. I shall talk about a few of these, including live-trading experiments to investigate the difference between on-paper strategy analysis (typical in the academic literature) and actual trading outcomes. I shall also mention very recent work on the new Hyperliquid exchange which runs on a blockchain basis, showing how to use this architecture to obtain datasets of an unprecendented level of granularity. This is joint work with Jakob Albers, Mihai Cucuringu and Alex Shestopaloff.