Analysis of the cryptocurrency market microstructure: role of smart order routing

Over the recent years, cryptocurrencies have attracted tremendous amount of attention from both general public and professional investors as a new asset class. However, trading activities of cryptocurrencies are extremely fragmented and unregulated in most of countries around the world. The proposed research project aims to empirically study the microstructure of cryptocurrency exchanges in order to gain insight on what elements are needed to improve the market. In particular, the proposed research focuses on the potential role of smart order router (SOR). The proposed research project will work with Aquanow, a Canadian start-up company working on building a platform to aggregate the fragmented cryptocurrency market for investors. The project focuses on potential improvements in market quality (e.g., depth, costs, liquidity, price discovery) that such an aggregation platform can bring into the current fragmented market. Overall, the proposed project aims to shed light on the role of smart order routing in both the market quality and regulatory perspective.

Kenji Hewitt
Faculty Supervisor: 
Yoontae Jeon