Liquidity in the Crypto-Currency Market

Student: Tsyrlin Nikita

Supervisor: Victor A Lapshin

Faculty: International College of Economics and Finance

Educational Programme: Financial Economics (Master)

Year of Graduation: 2020

In this work, we investigate liquidity factors in the crypto-currency market. We determine the range of existing liquidity proxies in the absence of quote data. Then we validate these proxies. And finally, we explore factors affecting the liquidity of the cryptocurrency market. In this paper, we found that liquidity proxies show less precision in the crypto-market. We also confirmed previous findings on commonality in liquidity among crypto-currencies, absence of relation with macro factors, and the influence of public interest on liquidity.

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