Trading and arbitrage in cryptocurrency markets

Igor Makarov, Antoinette Schoar · 2020 · Journal of Financial Economics

IntermediateIntradayLFTEmpiricalFree to read

Large, persistent price gaps across crypto exchanges, especially across countries with capital controls. Arbitrage is limited by moving capital, not by spotting the gap.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday, LFT
Data needed: Trades Set what data you have
Themes: Stat arb Microstructure
Assets: Crypto
Market: Crypto

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@article{makarov2020trading, author = {Makarov, Igor and Schoar, Antoinette}, title = {{Trading and arbitrage in cryptocurrency markets}}, journal = {Journal of Financial Economics}, year = {2020}, doi = {10.1016/j.jfineco.2019.07.001} }