Arbitrage Behavior amongst Multiple Cryptocurrency Exchange Markets
Document Type
Article
Publication Date
6-22-2022
Publication Title
International Conference on Computational Science and Computational Intelligence (CSCI) Proceedings
DOI
10.1109/CSCI54926.2021.00023
Abstract
Compared with fiat currencies, cryptocurrencies are usually more vulnerable to speculation and thus lead to massive price fluctuations, which makes exchanging cryptocurrencies a potentially profitable but risky endeavor. We aim to contribute to the understanding of the arbitrage behavior involving multiple cryptocurrency exchange markets. Specifically, we applied a Bellman-Ford based algorithm to detect possible arbitrage opportunities. By investigating historical data from three cryptocurrency exchange markets, i.e., Gemini, Coinbase, and Kraken, we designed experiments to identify how often arbitrage was possible in the past as well as the factors that contribute to the existence of arbitrage. We believe this may bring insights into strategies to stabilize the cryptocurrency exchange markets.
Recommended Citation
Grone, Samuel, Weitian Tong, Hayden Wimmer, Yao Xu.
2022.
"Arbitrage Behavior amongst Multiple Cryptocurrency Exchange Markets."
International Conference on Computational Science and Computational Intelligence (CSCI) Proceedings: 527-532: IEEE Xplore.
doi: 10.1109/CSCI54926.2021.00023
https://digitalcommons.georgiasouthern.edu/information-tech-facpubs/176
Comments
Georgia Southern University faculty member, Hayden Wimmer and Yao Xu co-authored Arbitrage Behavior amongst Multiple Cryptocurrency Exchange Markets.