Data from: Building trust takes time: Limits to arbitrage for blockchain-based assets

<p><span>The dataset contains all historical order book snapshots and blockchain network information used to generate the results for the paper "Building Trust takes Time". </span></p> <p><span>A blockchain replaces central counterparties with time-consuming consensus pro</span><span>tocols to record the transfer of ownership.</span> <span>This settlement latency slows cross-</span><span>exchange trading, exposing arbitrageurs to price risk. Off-chain settlement, instead, </span><span>exposes arbitrageurs to costly default risk. We show with Bitcoin network and or</span><span>der book data that cross-exchange price differences coincide with periods of high </span><span>settlement latency, asset flows chase arbitrage opportunities, and price differences </span><span>across exchanges with low default risk are smaller. Blockchain-based trading thus </span><span>faces a dilemma: reliable consensus protocols require time-consuming settlement </span><span>latency, leading to arbitrage limits. Circumventing such arbitrage costs is possible </span><span>only</span> <span>by reinstalling trusted intermediation, which mitigates default risk.</span></p>