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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | Exploring Arbitrage for Cryptocurrencies: Recent Developments |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Number of Pages | 43 |
Date | 2022 |
Abstract Text | Recent literature has documented substantial arbitrage opportunities in markets for cryptocurrencies. Given those findings, I re-examine the exchange rates of three cryptocurrencies on 26 exchanges with data from 2017 to the end of 2021. My results first provide evidence that, based on arbitrage indices established in this paper, price differences exist. However, the magnitude decreased greatly from 2019 onward. I then test a cross-platform and zero-cost strategy, which shows that from the beginning of 2019, substantial arbitrage opportunities hardly exist. Based on this, I discuss several frictions which are associated with the exploitation of price differences. |
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