I have seen this many times, the same minute the price goes down on GDAX, it also has gone down on Bitfinex and Bitmex and Binance USDT etc. These exchanges have different prices, that's understandable, but how come they follow the same movement and not go all for each own path? I suspect there is something behind all this that brings them together even tho they are different places to trade on. I need to know what this is. Perhaps it's the price of the USD? Is it the same seller(s) selling at the same time over several exchanges?
To be more specific about the "arbitrage strategies" in Tanmay's answer:
Suppose there were a difference in price between two exchanges: at A the price is $10,000 and at B it is $10,100. Then, in principle, someone could turn a quick and risk-free(*) profit by buying coins on A, transferring them to B, and selling them for the higher price. This is called arbitrage. As they do so, it will tend to drive up prices on A: the people who were offering coins for sale at $10,000 on A are having their offers accepted. Eventually those offers will all be gone, and people who want to buy will have to take the next-best offer, which will be at a higher price. Similarly, this strategy will also tend to drive down prices on B.
Arbitrage thus tends to make prices on different exchanges converge towards equilibrium. And it can happen very fast, so significant differences in price, even if they should occur, don't tend to last very long. Most of the time you see prices that are close together.
I have left out some details: for instance, the arbitrage strategy will incur transaction and trading costs, and it is not completely risk-free since prices could change in between trades. This is part of why you don't see prices looking exactly the same at all times. But the principle applies, and it's a fundamental principle in the study of finance.
There are a lot of traders who are are running arbitrage strategies. The whole premise is that, if the value of BTC relative to USD increases/decreases on one exchange due to a short term decrease/increase of supply, it should reflect on the other exchanges too (since at the end of the day, BTC is BTC regardless of what exchange it is being traded on).
So to answer your question- what brings all these exchanges together: it is a mixture of the same traders trading on all of the said exchanges and traders who hold the same short term opinion on the price of bitcoin.
Most of the arbitrage is done by algorithmic traders; human traders would be too slow to react fast enough to keep up with the market.