Price discovery on Bitcoin exchanges

• Bitcoin is traded at several exchanges.
• We study the Bitcoin price discovery at these exchanges.
• The market leaders with the highest information share are Mt.Gox and BTC-e.
• The information share is dynamic and displays significant variation over time.

Bitcoin is an open source peer-to-peer electronic money and payment system. It is traded at several exchanges and high-frequency trade data are publicly available. We study the contributions of Bitcoin exchanges to price discovery. Our results show that Mt.Gox and BTC-e are the market leaders with the highest information share. Our analysis further suggests that information share is dynamic and evolves significantly over time.