Publication detail

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

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D., Bouri, Elie
Type: Articles in journals with impact factor
Year: 2023
Number: 0
ISSN / ISBN:
Published in: Finance Research Letters 51:103332 PDF
Publishing place:
Keywords: cryptocurrencies, cryptoassets, Bitcoin, arbitrage, exchanges
JEL codes:
Suggested Citation:
Abstract: 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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