Arbitrage in the market for cryptocurrencies

【Author】 Crepelliere, Tommy; Pelster, Matthias; Zeisberger, Stefan

【Source】JOURNAL OF FINANCIAL MARKETS

【影响因子】3.095

【Abstract】Arbitrage opportunities in markets for cryptocurrencies are well-documented. In this paper, we confirm that they exist; however, their magnitude decreased greatly from April 2018 onward. Analyzing various trading strategies, we show that it is barely possible to exploit existing price differences since then. We discuss and test several mechanisms that may be responsible for the increased market efficiency and find that informed trading is correlated with a reduction in arbitrage opportunities.

【Keywords】Arbitrage; Law of one price; Cryptocurrencies; Bitcoin; FinTech

【发表时间】2023 JUN

【收录时间】2023-07-18

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析