Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F23%3A00583789" target="_blank" >RIV/67985556:_____/23:00583789 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/23:10456360
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1544612322005116?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612322005116?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2022.103332" target="_blank" >10.1016/j.frl.2022.103332</a>
Alternative languages
Result language
angličtina
Original language name
Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges
Original language description
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.
Czech name
—
Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA20-17295S" target="_blank" >GA20-17295S: Cryptoassets: Pricing, Interconnectedness, Mining, and their Interactions</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Finance Research Letters
ISSN
1544-6123
e-ISSN
1544-6131
Volume of the periodical
51
Issue of the periodical within the volume
1
Country of publishing house
US - UNITED STATES
Number of pages
8
Pages from-to
103332
UT code for WoS article
000899867100023
EID of the result in the Scopus database
2-s2.0-85139340985