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Type | Journal Article |
Scope | Discipline-based scholarship |
Title | Arbitrage in the market for cryptocurrencies |
Organization Unit | |
Authors |
|
Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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Journal Title | Journal of financial markets |
Publisher | Elsevier |
Geographical Reach | international |
ISSN | 1386-4181 |
Volume | 64 |
Page Range | 100817 |
Date | 2023 |
Abstract Text | 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. |
Free access at | Official URL |
Official URL | https://www.sciencedirect.com/science/article/pii/S1386418123000150 |
Digital Object Identifier | 10.1016/j.finmar.2023.100817 |
Other Identification Number | merlin-id:23160 |
PDF File | Download from ZORA |
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