愿望还是现实？论加密货币市场中三角套利的可利用性

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-12-07 DOI:10.1016/j.frl.2024.106508

Matthias Muck, Thomas Schmidl, Julian Wolf

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引用次数: 0

摘要

本研究通过考察套利机会的存在和可利用性来研究加密货币市场的效率。利用 Binance 交易所的高频数据，我们实施了三角套利策略，考虑了比特币、莱特币和美元。我们发现了 4879 个可能的套利机会。尽管这些发现表明存在潜在的低效率，但交易成本和订单簿中有限的交易量消除了它们的盈利能力。因此，集中式加密货币市场表现出很高的效率。此外，我们的研究结果表明，仅凭三角套利机会的数量并不能可靠地说明市场效率低下。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets

This study investigates the efficiency of cryptocurrency markets by examining the presence and exploitability of arbitrage opportunities. Using high-frequency data from the Binance Exchange, we implement a triangular arbitrage strategy, considering Bitcoin, Litecoin, and the U.S. Dollar. We find 4,879 possible arbitrage opportunities. Although these findings suggest potential inefficiencies, transaction costs and limited trading volumes in the order book eliminate their profitability. Consequently, centralized cryptocurrency markets exhibit a high degree of efficiency. Moreover, our results suggest that the mere number of triangular arbitrage opportunities is not a reliable indicator of market inefficiency.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance