Arbitrage in the Market for Cryptocurrencies

TAF-Working Paper Series No. 67 / May 2022

47 Pages Posted: 19 Jun 2020 Last revised: 12 Jul 2022

See all articles by Tommy Crépellière

Tommy Crépellière

affiliation not provided to SSRN

Matthias Pelster

Paderborn University

Stefan Zeisberger

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

Date Written: May 28, 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 (May 28, 2022). 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

Paderborn University

Warburger Str. 100
Paderborn, 33098
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

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