Arbitrage in the Market for Cryptocurrencies

32 Pages Posted: 19 Jun 2020 Last revised: 21 Oct 2020

See all articles by Tommy Crépellière

Tommy Crépellière

affiliation not provided to SSRN

Stefan Zeisberger

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

Date Written: October 20, 2020

Abstract

Recent literature has documented substantial arbitrage opportunities in markets for cryptocurrencies. Given these rather surprising findings, we re-examine the exchange rates of four cryptocurrencies on 21 exchanges with data from October 2018 to June 2019. Our results first provide evidence that price differences exist based on our created arbitrage indices, however, at only a fraction of values reported in previous literature. We then analyze the drivers of these price differences, identifying exchange-specific factors to have the most important role. Based on this, we test actual arbitrage strategies for specific cryptocurrency and fiat currency pairs, finding, in contrast to previous literature, that arbitrage opportunities hardly exist.

Keywords: FinTech, arbirtrage, cryptocurrencies, Bitcoin

Suggested Citation

Crépellière, Tommy and Zeisberger, Stefan, Arbitrage in the Market for Cryptocurrencies (October 20, 2020). Available at SSRN: https://ssrn.com/abstract=3606053 or http://dx.doi.org/10.2139/ssrn.3606053

Tommy Crépellière

affiliation not provided to SSRN

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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