Fee Structure and Order Flow Informativeness in the Cryptocurrency Market
Abstract
We exploit Binance's shift from zero-fee to commission-based trading in March 2023 as a natural experiment to examine how fee structures affect order flow informativeness in cryptocurrency markets. Using high-frequency order book data for the BTC/USDT pair, we find that order flow imbalance explanatory power for price changes increased significantly after fee implementation, from 5% to 21.55% R². The results suggest that zero trading fees may reduce price efficiency by diluting order flow information content. Our findings inform optimal market design for digital asset exchanges and demonstrate how trading costs influence the strategic behavior of market participants.
Fields of Study & Subjects
Blockchain Technology Applications and Security
Publication details
- Journal / source
- Contributions to finance and accounting
- Pages
- 315–328
- Publication date
- 1 January 2026
- Language
- EN
- Document type
- Book chapter