Detail publikace

Kristoufek, L. & Bouri, E.: Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges

Autor: prof. PhDr. Ladislav Krištoufek Ph.D., Bouri, Elie
Typ: Články v impaktovaných časopisech
Rok: 2022
Číslo: 0
ISSN / ISBN:
Publikováno v: (accepted) Finance Research Letters
Místo vydání:
Klíčová slova: cryptocurrencies, cryptoassets, Bitcoin, arbitrage, exchanges
JEL kódy:
Citace:
Abstrakt: We investigate potential sources of emerging statistical arbitrage opportunities in the Bitcoin market across five exchanges - Binance, Bitfinex, Bitstamp, Coinbase, and Kraken - via the instrumental variables approach to control for apparent endogeneity. We show that arbitrage opportunities arise when the network is congested and Bitcoin prices are volatile. Increased exchanges volume and on-chain activity increase the correlation between exchanges and thus reduce the arbitrage opportunities. These outcomes are intuitive and economically valid which supports the notion that Bitcoin market is highly volatile and risky but its behavior follows standard economic and financial intuition.

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