WFE Webinar
WFE Research Team presents paper: Blockchain Mining Power and Market Quality in Cryptocurrency Trading
Event Summary
WFE Research Team presents paper: Blockchain Mining Power and Market Quality in Cryptocurrency Trading
Moderator: Dr. Pedro Gurrola-Perez, Head of Research, The World Federation of Exchanges
Presenter: Dr. Kaitao Lin, CFA, Senior Financial Economist, The World Federation of Exchanges
Summary: Our Head of Research, Pedro Gurrola-Perez, and Senior Financial Economist in our Research team, Kaitao Lin, will present their Working Research Paper which investigates how the aggregate mining power of blockchain affects the market quality of cryptocurrency trading platforms. Using historical intraday data of three cryptocurrencies traded on three platforms from January to June 2021, we observe that a decrease in the blockchain’s aggregate mining power results in wider price discrepancies across platforms and reduced liquidity. We also analyze abnormal hashrate and find consistent results that support our previous findings. The contribution of this study lies in empirically exploring the connection between blockchain mining and the trading environment of the crypto market, highlighting the importance of considering the impact of blockchain validation process when designing fair and efficient markets for crypto assets.
Format: There will be a 40 min conversation followed by an audience Q&A.
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Moderator
Presenter
Speaker Profiles
Dr. Pedro Gurrola-Perez
Head of Research, The World Federation of Exchanges
Pedro joined the World Federation of Exchanges in October 2019 from the Bank of England, where he led the Financial Market Infrastructures Directorate’s Research Team. He had joined the Bank of England in 2013, after two years at the UK Financial Services Authority. Previously, Pedro spent more than 15 years lecturing and doing research at a range of well-regarded academic institutions, including the University of Barcelona and the Instituto Tecnológico Autónomo de México (ITAM).
Pedro holds two PhDs: one from the University of Barcelona, Spain, and one from the University of Montpellier, France, and has published across key academic journals, including the Journal of Financial Market Infrastructures, the Journal of Risk, International Finance and the Journal of Futures Markets. His recent work includes research on the economics of distributed ledger technologies (DLT) for securities settlement, on the network structure of settlement fails and on market liquidity risk in CCPs. He has also published research on payment systems, back-testing methodologies and on the structure of interest rate futures markets. In 2007 he received the National Award on Derivatives Research, awarded by the Mexican Derivatives Exchange (MexDer).
Dr. Kaitao Lin, CFA
Senior Financial Economist, The World Federation of Exchanges
Kaitao joined the World Federation of Exchanges in May 2020 and currently holds the position of senior financial economist in the Research Team. Kaitao holds a Ph.D. in Finance from the University of Houston and is a Chartered Financial Analyst® (CFA®) charterholder. His research focuses on market microstructure issues, such as trading rules, their effects on market participants, and market quality. His current work includes ESG and crypto assets. Kaitao’s papers have been accepted for publication in well-regarded academic journals, such as the Quarterly Journal of Finance, and presented in various international conferences, including the U.S. SEC Ph.D. Symposium, the China International Conference in Finance, and the Financial Management Association Annual Meeting.
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