Crypto Market Microstructure
Why execution research built for equities doesn't transfer cleanly.
Nearly all of the Optimal Execution literature was developed for, and validated on, public equity markets. Cryptocurrency markets differ in ways that matter directly for how you should trade.
They never close. No opening auction, no closing auction, no overnight gap. The intraday volume patterns that VWAP schedules lean on look completely different when there's no session structure to anchor them.
Liquidity is thin and fragmented. The same asset trades on many venues, none of which sees the whole picture. Book depth for even major pairs is a fraction of what a large-cap equity carries, so a given order size represents far more of the visible book — and pays far more Market Impact.
Order flow is heterogeneous. Retail, market makers, and arbitrage bots interleave, and the mix shifts by the hour.
Regimes shift fast. Volatility and spread dynamics move between states over minutes rather than days. This is precisely the condition under which a single monolithic policy underperforms and a regime-conditioned one might help — which is the hypothesis behind the research.
As institutional capital moves into these markets, execution research designed for them — rather than transplanted from equities and hoped for the best — becomes worth doing.