We examine the price discovery contributions of cryptocurrency exchanges in the presence of market microstructure noise. Cryptocurrency markets exhibit a decisively higher level of microstructure noise compared with the NYSE or NASDAQ. Therefore, traditional measures of price discovery could be biased. To overcome this concern, we draw on the information leadership share proposed by Putniņš (2013); by leveraging this information, we find that Bitfinex is the leader in the price discovery process. These results highlight the importance of accounting for different levels of noise when evaluating price discovery contributions.

中文翻译：

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除了噪音什么都没有？跨加密货币交易所的价格发现

我们在存在市场微观结构噪音的情况下研究了加密货币交易所的价格发现贡献。与纽约证券交易所或纳斯达克交易所相比，加密货币市场的微观结构噪音水平明显更高。因此，传统的价格发现方法可能存在偏差。为了克服这个问题，我们利用了 Putniņš (2013) 提出的信息领导共享；通过利用这些信息，我们发现 Bitfinex 是价格发现过程的领导者。这些结果强调了在评估价格发现贡献时考虑不同级别噪音的重要性。