Decentralized Efficiency? Arbitrage in Bitcoin Markets
30 Pages Posted: 3 Dec 2018 Last revised: 31 Mar 2019
Date Written: March 29, 2018
Using tick-level Bitcoin data from February 2013 to April 2018, we show significant and increasing arbitrage spreads between global Bitcoin markets. Moreover, spreads between markets follow consistent patterns: Minimum and maximum prices per ten-second interval show significant clustering. Arbitrage traders will find increased spreads during the early UTC hours of a day and due to market entries of new exchanges as well as after bitcoin heists & hacks. January 2017 to April 2018 alone have provided 2 million ten-second intervals with average arbitrage spreads above 4% that have remained unexploited. We conclude that Bitcoin market inefficiency increases over time.
Keywords: Bitcoin, Cryptocurrency, Efficiency, Arbitrage, Patterns
JEL Classification: D40, G14
Suggested Citation: Suggested Citation