On the Quality of Cryptocurrency Markets: Centralized vs. Decentralized Exchanges

• 成果类型: Article; Early Access
• 署名作者: Barbon, Andrea; Ranaldo, Angelo
• 署名单位: University of St Gallen; University of Basel
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.07703
• 发表日期: 2026
• 关键词: market quality; decentralized exchanges; automated market making; Blockchain; decentralized finance; Limit order book; Uniswap

摘要

We analyze the market quality of centralized crypto exchanges and decentralized blockchain-based venues (DEXs) using a unique and comprehensive data set. Focusing on two fundamental aspects, transaction costs and deviations from the no-arbitrage condition, we estimate the causal effect of gas fees on DEX market quality. We show that these fixed costs impose a significant burden on relatively small trades and cause persistent arbitrage deviations. Conversely, DEXs offer more competitive transaction costs for larger trades, offering a more favorable environment for institutional investors. Furthermore, we provide causal evidence that innovations aimed at enhancing the flexibility of liquidity provision in DEX markets lead to sizeable improvements in market quality.