PDF iconDownload This Paper
Open PDF in Browser
Add Paper to My Library
Permalink
Using these links will ensure access to this page indefinitely
Copy URL
Copy DOI

Arbitrage in the Market for Cryptocurrencies

Journal of Financial Markets, Forthcoming

TAF-Working Paper Series No. 67 / May 2022

52 Pages Posted: 19 Jun 2020 Last revised: 13 Dec 2022

See all articles by Tommy Crépellière

Tommy Crépellière

affiliation not provided to SSRN

Matthias Pelster

University of Duisburg-Essen - Mercator School of Management; european center for financial services (ecfs)

Stefan Zeisberger

Radboud University, Institute for Management Research; University of Zurich, Department of Banking and Finance

Date Written: December 12, 2022

Abstract

Arbitrage opportunities in markets for cryptocurrencies are well-documented. In this paper, we confirm that they existed; however, their magnitude decreased greatly from April 2018 onward. Analyzing various trading strategies, we show that it is hardly 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, particularly, informed trading is correlated with a reduction in arbitrage opportunities.

Keywords: FinTech, arbirtrage, cryptocurrencies, Bitcoin

Suggested Citation

Crépellière, Tommy and Pelster, Matthias and Zeisberger, Stefan, Arbitrage in the Market for Cryptocurrencies (December 12, 2022). Journal of Financial Markets, Forthcoming, TAF-Working Paper Series No. 67 / May 2022, Available at SSRN: https://ssrn.com/abstract=3606053 or http://dx.doi.org/10.2139/ssrn.3606053

Tommy Crépellière

affiliation not provided to SSRN

Matthias Pelster

University of Duisburg-Essen - Mercator School of Management ( email )

Lotharstraße 65
Duisburg, Nordrhein-Westfalen 47057
Germany

european center for financial services (ecfs) ( email )

Lotharstraße 65
Duisburg, 47057
Germany

Stefan Zeisberger (Contact Author)

Radboud University, Institute for Management Research ( email )

Nijmegen
Netherlands

University of Zurich, Department of Banking and Finance ( email )

Zürich
Switzerland

PDF iconDownload This Paper
Open PDF in Browser

Do you have a job opening that you would like to promote on SSRN?

Place Job Opening

Paper statistics

Downloads
737
Abstract Views
2,149
Rank
54,180
56 References
PlumX Metrics

Related eJournals