| bibtype |
J -
Journal Article
|
| ARLID |
0583789 |
| utime |
20240402215316.0 |
| mtime |
20240307235959.9 |
| SCOPUS |
85139340985 |
| WOS |
000899867100023 |
| DOI |
10.1016/j.frl.2022.103332 |
| title
(primary) (eng) |
Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges |
| specification |
| page_count |
8 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0361997 |
| ISSN |
1544-6123 |
| title
|
Finance Research Letters |
| volume_id |
51 |
| publisher |
|
|
| keyword |
Cryptocurrencies |
| keyword |
Cryptoassets |
| keyword |
Bitcoin |
| keyword |
Arbitrage |
| keyword |
Exchanges |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| share |
50 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0377616 |
| name1 |
Bouri |
| name2 |
E. |
| country |
LB |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GA20-17295S |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0397556 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2024 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0352123 |
| confidential |
S |
| article_num |
103332 |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESSFINANCE |
| mrcbT16-j |
1.201 |
| mrcbT16-D |
Q2 |
| arlyear |
2023 |
| mrcbU14 |
85139340985 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000899867100023 WOS |
| mrcbU63 |
cav_un_epca*0361997 Finance Research Letters 1544-6123 1544-6131 Roč. 51 č. 1 2023 Elsevier PRINT |
|