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SUMMARY:Trading and Arbitrage in Cryptocurrency Markets
DTSTART:20180420T103000
DTEND:20180420T120000
DTSTAMP:20260916T050013Z
UID:86b79be4c55b2e121e1cb6346d0ca8bda576da99c607e9f27f464469
CATEGORIES:Conferences - Seminars
DESCRIPTION:Igor MAKAROV (London School of Economics)\nThis paper document
 s the trading dynamics and efficiency of bitcoin and other cryptocurrency 
 markets. First\, there are large arbitrage opportunities in bitcoin prices
  relative to fiat currencies across exchanges that often persist for sever
 al days or weeks. These price dispersions exist even in the face of signif
 icant trading volumes on many of the exchanges. The total size of arbitrag
 e profits from December 2017 to February 2018 is about $1 billion. Second\
 , we show that arbitrage opportunities are much larger across regions than
  within the same region\; they are particularly large between the US\, Jap
 an and Korea\, but smaller between the US and Europe. Third\, these same p
 rice dispersions do not exist between cryptocurrencies. The average differ
 ence in the price of bitcoin to ethereum (or ripple) across exchanges is b
 elow 3% over the same time period. Finally\, we document that net orderflo
 w affects bitcoin returns and the size of the arbitrage spreads between ex
 changes. Our analysis sheds light on the nature of the barriers to arbitra
 ge in cryptocurrency markets.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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