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Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities

The evolving crypto-currency market is seen as dynamic, segmented, and inefficient, coupled with a lack of regulatory oversight, which together becomes conducive to observing the arbitrage. In this context, a crypto-network is designed using bid/ask data among 20 crypto-exchanges over a 2-year perio...

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Detalles Bibliográficos
Autores principales: Kabašinskas, Audrius, Šutienė, Kristina
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8070625/
https://www.ncbi.nlm.nih.gov/pubmed/33921419
http://dx.doi.org/10.3390/e23040455
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author Kabašinskas, Audrius
Šutienė, Kristina
author_facet Kabašinskas, Audrius
Šutienė, Kristina
author_sort Kabašinskas, Audrius
collection PubMed
description The evolving crypto-currency market is seen as dynamic, segmented, and inefficient, coupled with a lack of regulatory oversight, which together becomes conducive to observing the arbitrage. In this context, a crypto-network is designed using bid/ask data among 20 crypto-exchanges over a 2-year period. The graph theory technique is employed to describe the network and, more importantly, to determine the key roles of crypto-exchanges in generating arbitrage opportunities by estimating relevant network centrality measures. Based on the proposed arbitrage ratio, Gatecoin, Coinfloor, and Bitsane are estimated as the best exchanges to initiate arbitrage, while EXMO and DSX are the best places to close it. Furthermore, by means of canonical correlation analysis, we revealed that higher volatility and the decreasing price of dominating crypto-currencies and CRIX index signal bring about a more likely arbitrage appearance in the market. The findings of research include pre-tax and after-tax arbitrage opportunities.
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spelling pubmed-80706252021-04-26 Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities Kabašinskas, Audrius Šutienė, Kristina Entropy (Basel) Article The evolving crypto-currency market is seen as dynamic, segmented, and inefficient, coupled with a lack of regulatory oversight, which together becomes conducive to observing the arbitrage. In this context, a crypto-network is designed using bid/ask data among 20 crypto-exchanges over a 2-year period. The graph theory technique is employed to describe the network and, more importantly, to determine the key roles of crypto-exchanges in generating arbitrage opportunities by estimating relevant network centrality measures. Based on the proposed arbitrage ratio, Gatecoin, Coinfloor, and Bitsane are estimated as the best exchanges to initiate arbitrage, while EXMO and DSX are the best places to close it. Furthermore, by means of canonical correlation analysis, we revealed that higher volatility and the decreasing price of dominating crypto-currencies and CRIX index signal bring about a more likely arbitrage appearance in the market. The findings of research include pre-tax and after-tax arbitrage opportunities. MDPI 2021-04-12 /pmc/articles/PMC8070625/ /pubmed/33921419 http://dx.doi.org/10.3390/e23040455 Text en © 2021 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Kabašinskas, Audrius
Šutienė, Kristina
Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities
title Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities
title_full Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities
title_fullStr Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities
title_full_unstemmed Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities
title_short Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities
title_sort key roles of crypto-exchanges in generating arbitrage opportunities
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8070625/
https://www.ncbi.nlm.nih.gov/pubmed/33921419
http://dx.doi.org/10.3390/e23040455
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