Christoph Stephan
The talk commences with an exploration of the fundamental mechanisms of modern electronic exchanges and their statistical properties, setting the groundwork for understanding price formation in crypto markets. We will dive into the inner workings of electronic markets, particularly emphasising the microscopic behaviors and statistical anomalies known as stylized facts.
Focusing on crypto assets, our analysis of the OMG token's limit order book—a protocol for organizing trading—on Coinbase Pro uncovers a significant presence of algorithmic traders, each displaying unique trading patterns. The talk aims to illuminate the intricate role of algorithmic trading in shaping price formation within crypto markets, providing a comprehensive introduction to the subject and offering new insights into its complexities.
