Exchanges, Identity, and CoinJoins

In this video, Bitcoin educator, entrepreneur Andreas M. Antonopoulos discusses the following questions: Is Bitcoin anonymous if exchanges and some wallets require identities? Should we assume that our identity information will be leaked if we use KYC-ed wallets? Besides buying, what is a reliable way to acquire bitcoin? How can I set up a wallet without providing identity? Do you still recommend using CoinJoins? Could they become illegal?