Electronic Theses and Dissertations



Date of Award


Document Type


Degree Name

Doctor of Philosophy

Committee Chair

Thomas McInish

Committee Member

Thomas McInish

Committee Member

Pankaj Jain

Committee Member

Konstantin Sokolov


In chapter one we investigate the price clustering of non-fiat cryptocurrency exchange rates or the pricing of items in cryptocurrency such as bitcoin, which has been accepted as payment at a growing list of companies. For litecoin, a non-fiat currency, priced in terms of satoshi, one hundred millionth of a bitcoin, over 35% are priced at 100 satoshi increments, providing support for the negotiation hypothesis. There is also strategic pricing at 1 satoshi below or above the 100 satoshi increments. At the transaction level, we find that prices are mainly formed due to negotiations and strategic trading, instead of based on psychologically appealing numbers in the order of 0, 5, and others.In the second chapter we examine commonality in returns and liquidity (trading volume) for Bitcoin-fiat currency pairs, each trading on an exchange in a country with a single time zone. We find evidence that one common factor explains about 54% of the variance in hourly trading volume. We find strong support for the presence of a microstructure-noise volatility multiplier. Volume is higher on local exchanges during local working hours, reflecting a pattern also seen in forex markets, and supporting the view that trading patterns depend on the location of trade rather than the location of the asset being traded.In the final chapter we use the distribution from Benfords Law to investigate whether fake volume is reported for five bitcoin exchanges that are either regulated by the US Department of Treasury or have licenses from the State of New York and three exchanges that are not so regulated. Using counts of first digits, counts of second digits, and sums of numbers beginning with the same first two digits, we find that the distribution of minute-level volume of regulated exchanges deviate less from Benfords expected distribution than the remaining three exchanges. We find that the proportion of first digits deviate less for the Bitstamp, Coinbase, and ItBit exchanges, justifying their use as the basis for the index price for CME Bitcoin Futures contracts (BTCA).


Data is provided by the student.

Library Comment

Dissertation or thesis originally submitted to ProQuest