Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform

【Author】 Saggese, Pietro; Belmonte, Alessandro; Dimitri, Nicola; Facchini, Angelo; Boehme, Rainer

【Source】JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION

【影响因子】2.000

【Abstract】We mine the leaked history of trades on Mt. Gox, the dominant Bitcoin exchange from 2011 to early 2014, in order to detect the triangular arbitrage conducted on the platform. To this end, we exploit user identifiers per trade to identify and describe the individual trading patterns of 440 arbitrageurs. Moreover, we introduce proxies for expertise and document that the expert users' distribution of profits first-order stochastically dominates that of non-expert users. Most importantly, by including user fixed effects, we show that expert users make profits on arbitrage by reacting quickly to plausible exogenous variations on the official exchange rates. A small number of expert arbitrageurs are able to conduct the vast majority of the arbitrage actions and systematically yield higher profits: our results provide empirical evidence that arbitrageurs are few and sophisticated users, characterized by the ability to incorporate information and to quickly react to exogenous shocks within short time scale intervals.

【Keywords】Arbitrage; Bitcoin; Cryptocurrency exchanges; Behavioral finance

【发表时间】2023 SEP

【收录时间】2023-09-29

【文献类型】实证数据

【主题类别】

区块链治理-技术治理-交易模式识别