TY - GEN
T1 - Arbitrage Behavior amongst Multiple Cryptocurrency Exchange Markets
AU - Grone, Samuel
AU - Tong, Weitian
AU - Wimmer, Hayden
AU - Xu, Yao
N1 - Publisher Copyright:
© 2021 IEEE.
PY - 2021
Y1 - 2021
N2 - 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.
AB - 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.
KW - arbitrage
KW - Bellman-Ford algorithm
KW - Cryptocurrency
KW - minimum weight cycle
KW - negative cycle detection
UR - http://www.scopus.com/inward/record.url?scp=85133953118&partnerID=8YFLogxK
U2 - 10.1109/CSCI54926.2021.00023
DO - 10.1109/CSCI54926.2021.00023
M3 - Conference article
AN - SCOPUS:85133953118
T3 - Proceedings - 2021 International Conference on Computational Science and Computational Intelligence, CSCI 2021
SP - 527
EP - 532
BT - Proceedings - 2021 International Conference on Computational Science and Computational Intelligence, CSCI 2021
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2021 International Conference on Computational Science and Computational Intelligence, CSCI 2021
Y2 - 15 December 2021 through 17 December 2021
ER -