Publication: Arbitrage in the market for cryptocurrencies
Arbitrage in the market for cryptocurrencies
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Crépellière, T., Pelster, M., & Zeisberger, S. (2023). Arbitrage in the market for cryptocurrencies. Journal of Financial Markets, 64, 100817–100817. https://doi.org/10.1016/j.finmar.2023.100817
Abstract
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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.
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- Crépellière, Tommy
- Pelster, Matthias
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Citations
Crépellière, T., Pelster, M., & Zeisberger, S. (2023). Arbitrage in the market for cryptocurrencies. Journal of Financial Markets, 64, 100817–100817. https://doi.org/10.1016/j.finmar.2023.100817
