Data from: Building trust takes time: Limits to arbitrage for blockchain-based assets

The dataset contains all historical order book snapshots and blockchain
network information used to generate the results for the paper
"Building Trust takes Time". A blockchain replaces central
counterparties with time-consuming consensus protocols to record the
transfer of ownership. This settlement latency slows cross-exchange
trading, exposing arbitrageurs to price risk. Off-chain settlement,
instead, exposes arbitrageurs to costly default risk. We show with Bitcoin
network and order book data that cross-exchange price differences coincide
with periods of high settlement latency, asset flows chase arbitrage
opportunities, and price differences across exchanges with low default
risk are smaller. Blockchain-based trading thus faces a dilemma: reliable
consensus protocols require time-consuming settlement latency, leading to
arbitrage limits. Circumventing such arbitrage costs is possible only by
reinstalling trusted intermediation, which mitigates default risk.