Arbitrage Behavior amongst Multiple Cryptocurrency Exchange Markets

Research output: Contribution to book or proceedingConference articlepeer-review

3 Scopus citations

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.

Original languageEnglish
Title of host publicationProceedings - 2021 International Conference on Computational Science and Computational Intelligence, CSCI 2021
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages527-532
Number of pages6
ISBN (Electronic)9781665458412
DOIs
StatePublished - 2021
Event2021 International Conference on Computational Science and Computational Intelligence, CSCI 2021 - Las Vegas, United States
Duration: Dec 15 2021Dec 17 2021

Publication series

NameProceedings - 2021 International Conference on Computational Science and Computational Intelligence, CSCI 2021

Conference

Conference2021 International Conference on Computational Science and Computational Intelligence, CSCI 2021
Country/TerritoryUnited States
CityLas Vegas
Period12/15/2112/17/21

Scopus Subject Areas

  • Artificial Intelligence
  • Computer Science Applications
  • Computer Vision and Pattern Recognition
  • Signal Processing
  • Safety, Risk, Reliability and Quality

Keywords

  • arbitrage
  • Bellman-Ford algorithm
  • Cryptocurrency
  • minimum weight cycle
  • negative cycle detection

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