Cryptomarket Discounts

25 Pages Posted: 1 Mar 2018 Last revised: 2 Jul 2021

See all articles by Nicola Borri

Nicola Borri

LUISS University - Department of Economics and Finance

Kirill Shakhnov

University of Surrey

Date Written: August 31, 2018


This paper studies how the efficiency of cryptocurrency markets evolved over time by looking at the distribution of bitcoin prices across markets and currencies. Relative bitcoin prices are persistent, with a half-life of 1 day, and their distribution is leptokurtic, skewed to the right, with a standard deviation of 4.5%. Efficiency improved for high quality exchanges. However, bitcoin price differences are still large because of the entry of new low quality exchanges, associated with higher liquidity and volatility risks.

Keywords: cryptocurrencies; limits to arbitrage; multi-market trading

JEL Classification: G12, G14, G15, F31

Suggested Citation

Borri, Nicola and Shakhnov, Kirill, Cryptomarket Discounts (August 31, 2018). Available at SSRN: or

Nicola Borri (Contact Author)

LUISS University - Department of Economics and Finance ( email )

viale Romania, 32
Rome, 00197


Kirill Shakhnov

University of Surrey ( email )

Guildford, Surrey GU2 5XH
United Kingdom

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