READ ME File For 'Dataset for Thesis entitled 'Price Deviation in the Stablecoin Market and Lead-Lag Relationships in the Traditional Cryptocurrency Market' ReadMe Author: Guanyu Long, University of Southampton, ORCID ID: https://orcid.org/0009-0000-3545-2048 This dataset supports the thesis entitled "Price Deviation in the Stablecoin Market and Lead-Lag Relationships in the Traditional Cryptocurrency Market" AWARDED BY: Univeristy of Southampton DATE OF AWARD: 2025 Date of data collection: From November 2021 to September 2024 Dataset DOI: https://doi.org/10.5258/SOTON/D3664 License Type: CC-BY -------------------- DATA & FILE OVERVIEW -------------------- This dataset contains: [File list (dataset.zip, Data of Chapter 2; Data of Chapter 3; Data of Chapter 4, and each file is associated with empirical Chapters of this thesis)] Data of Chapter 2: has a xlsx file named "Data for paper volatility driver of stablecoin.xlsx", which contains a daily high low open and close price of USDT, USDC, TUSD, USDP, BTC, ETH, DXY and S&P 500, and daily average price of gas price of Ethreum blockchain, sampled from Nov 1 2018 to Dec 31 2023. Data of Chapter 3: 6 files, including quotes binance, quotes kraken, quotes bitstamp, trades binance, trades kraken, trades bitstamp. In each file, there are 31 files named by the dates, which contains tick quotes data and trades data of USDT and USDC for these three exchanges. quotes binance: Files 20220101 to 20220131 contains the snapshot of limit order book tick data of USDT and USDC from exchange BinanceUS on that day, including timestamp, best ask price, best bid price, amount on the best bid and ask price. quotes bitstamp: Files 20220101 to 20220131 contains the snapshot of limit order book tick data of USDT and USDC from exchange Bitstamp on that day, including timestamp, best ask price, best bid price, amount on the best bid and ask price. quotes Kraken: Files 20220101 to 20220131 contains the snapshot of limit order book tick data of USDT and USDC from exchange Kraken on that day, including timestamp, best ask price, best bid price, amount on the best bid and ask price. trades binance: Files 20220101 to 20220131 contains the trading tick data of USDT and USDC from exchange BinanceUS on that day, including timestamp, price, base_amount, taker-side and order id. trades bitstamp: Files 20220101 to 20220131 contains the trading tick data of USDT and USDC from exchange Bitstamp on that day, including timestamp, price, base_amount, taker-side and order id. trades Kraken: Files 20220101 to 20220131 contains the trading tick data of USDT and USDC from exchange Kraken on that day, including timestamp, price, base_amount, taker-side and order id. Data of Chapter 4: 3 files, including Bitfinex quotes, Bitstamp quotes, Kraken quotes. In each quotes file, there are 31 files named by the dates, which contains tick quotes data of BTC, ETH, SOL and XRP for these three exchanges. Bitfinex quotes: Files 20240101 to 20240131 contains the snapshot of limit order book tick data of USDT and USDC from exchange Bitfinex on that day, including timestamp, best ask price, best bid price, amount on the best bid and ask price. Bitstamp quotes: Files 20240101 to 20240131 contains the snapshot of limit order book tick data of USDT and USDC from exchange Bitstamp on that day, including timestamp, best ask price, best bid price, amount on the best bid and ask price. Kraken quotes: Files 20240101 to 20240131 contains the snapshot of limit order book tick data of USDT and USDC from exchange Kraken on that day, including timestamp, best ask price, best bid price, amount on the best bid and ask price. Data source, list source: Data of Chapter 2 is collected from CoinMarketCap, investing.com and etherscan.io. Data of Chapter 3 and Chapter 4 are collected from CryptoTick.com -------------------------- METHODOLOGICAL INFORMATION -------------------------- Description of methods used for collection/generation of data: < For Data of Chapter 2, CoinMarketCap offers CSV historical data of each stablecoin, please see https://coinmarketcap.com/currencies/tether/historical-data/. Also, investing.com offers CSV files for historical data of DXY and S&P 500 data, please see https://www.investing.com/indices/usdollar-historical-data and Etherscan.io also offer CSV files of daily average gas price, please see https://etherscan.io/chart/gasprice. For dataset of Chapter 3 and Chapter 4: CryptoTick offers Pay as you go model, we can download tick data we want without subscribing it. Please see https://www.coinapi.io/products/flat-files. Methods for processing the data: In chapter 2, we use volatility measures defined in Parkinson (1980), Garman & Klass (1980), please see Section 2.3 in thesis. Software- or Instrument-specific information needed to interpret the data, including software and hardware version numbers: Jupyter Notebook 6.0.1 Standards and calibration information, if appropriate: Environmental/experimental conditions: Describe any quality-assurance procedures performed on the data: People involved with sample collection, processing, analysis and/or submission: -------------------------- DATA-SPECIFIC INFORMATION -------------------------- Number of variables: 9 Number of cases/rows: 1887 Variable list, definition: This dataset is associated with 9 variables, including daily USDT volatility, USDC volatility, TUSD volatility, USDP volatility, Bitcoin volatility, Ethereum volatility, DXY volatility, S&P 500 volatility and Gas price volatility. The detail of these variables please see Table 2.1 in section 2.3. Missing data codes: NA Date that the file was created: Feb 2024 Number of variables: 12 Number of cases/rows: from 233,025 rows to 32,436,920 rows Variable list, defining : This dataset is associated with 12 variables, including limit order book data of USDT and USDC in exchange Kraken, limit order book data of USDT and USDC in exchange Bitstamp, limit order book data of USDT and USDC in exchange BinanceUS. These limit order book datasets include best ask price, best bid price, amount on best ask and amount on best bid of USDT and USDC in each exchange. Trading data of USDT and USDC in exchange Kraken, trading data of USDT and USDC in exchange Bitstamp, and trading data of USDT and USDC in exchange BinanceUS. These trade datasets include number of trades, trade amount and trade price of USDT and USDC in each exchange. The detail of these variables are shown in Table 3.1 and 3.2 in section 3.3. Missing data codes: NA Date that the file was created: Sep 2023 Number of variables: 12 Number of cases/rows: from 6,554,990 rows to 22,268,958 Variable list, defining: This dataset is associated with 12 variables, including limit order book data of Bitcoin, Ethereum, Solona and XRP in exchanges Kraken, Bitstamp and Bitfinex. The order book datasets include best ask price, best bid price, amount on best ask and amount on best bid of BTC, ETH, SOL, XRP in exchange Kraken, Bitstamp and Bitfinex. The detail of these variables are shown in Table 4.1 in section 4.3. Missing data codes: NA Date that the file was created: March 2024