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.

Methods
This dataset provides three types of Bitcoin-related information:

Centralized crypto-exchange (CEX) characteristics which have been collected manually.
High-frequency order book information. The data has been retrieved by regularly fetching order book information from major centralized crypto exchanges (CEX) in minute-level intervals from 2018 - 2019. We provide the entire order book history across the exchanges with this dataset. 
Corresponding information on the state of the Bitcoin blockchain, for instance, the number of outstanding transactions at every point in time. The data has been used to analyze arbitrage activity across CEXes in relation to the time it takes for validators to execute cross-CEX transactions. Code to replicate the data processing parts is publicly available on Github: www.github.com/voigtstefan/building-trust-takes-time