Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach

Duan, Kun; Li, Zeming; Urquhart, Andrew; Ye, Jinqiang

doi:10.1016/j.irfa.2021.101725

Cited by 48 publications

(21 citation statements)

References 78 publications

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“…By employing a long-memory approach, the evolution of informational efficiency and its influence on cross-market arbitrage opportunities could be estimated. In this context, the authors of [33] studied the evolution of informational efficiency in five major Bitcoin markets and its impact on cross-market arbitrage. Their results reveal that all considered markets have been close to full informational efficiency over the sample period, however the degree of market efficiency varied across markets and over time.…”

Section: Related Workmentioning

confidence: 99%

Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities

Kabašinskas

Šutienė

2021

Entropy

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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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Section: Related Workmentioning

confidence: 99%

Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities

Kabašinskas

Šutienė

2021

Entropy

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“…In this context, Dyhrberg (2015) stated that Bitcoin could protect United Kingdom (UK) stocks and the US dollar. Therefore, the focus is on the US Dollar Index, which is at the center of today's financial system (Palazzi et al, 2021;Yu et al, 2021;Bekiros et al, 2021;Duan et al, 2021).…”

Section: Methodsmentioning

confidence: 99%

Investigating the Market Linkages between Cryptocurrencies and Conventional Assets

Yavuz

BOZKURT²,

Boğa³

2022

emaj

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Many investors include cryptocurrencies as potential investment tools in their portfolios. Previous studies have mostly analyzed Bitcoin regarding its hedge and safe haven features. Although the cryptocurrency market has expanded far beyond Bitcoin, few studies have examined the interaction among all other cryptocurrencies and conventional financial assets. For this purpose, as the dependent variable, we included the cryptocurrency index to represent the cryptocurrency market, whereas international stocks, bonds, United States (US) dollars, gold, and commodities as independent variables in the analysis. The interactions among the variables were analyzed using the Granger causality tests. The analysis results revealed a two-way causality relationship between the cryptocurrency market and the bond markets, indicating that the cryptocurrency index can be used to predict bond prices and vice versa.

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“…The further step is to figure out whether the arbitrage potentials is determined by the efficiency degree of the individual market in the context of Bitcoin. Through Fractionally Cointegrated Vector Autoregressive (FCVAR) model, some market shows the active correlation between Bitcoin efficiency with the cross-market arbitrage while some market shows negative, which indicate the potential of cross-market arbitrage opportunities can be expected [6].…”

Section: Literature Reviewmentioning

confidence: 99%

The Investment Value and the Current Regulation of Cryptocurrencies Market Under the Confusion

Ai¹,

Yao²

2021

Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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With the rapid development of contemporary technology, people are not only satisfied with the economic benefits brought by the traditional financial industry. In 2009, a currency incorporating blockchain Bitcoin was born, thus kicking off the cryptocurrency trend. In this paper, the historical development and status of the cryptocurrency market will be discussed first, including an introduction to the cryptocurrency market as a whole and a detailed description of the major currencies. Secondly, it discusses the various cryptocurrency disruptions in the year 2021, with musk as the key opinion leading the cryptocurrency price trends. Then, it analyzes the factors that affect the value of cryptocurrencies, including supply and demand, public perception and relationship with other currencies, and the value of cryptocurrency investments and future price trends. The regulation of cryptocurrencies is also reviewed. Policies from different countries is firstly discussed, and following this article talks about the impact of different regulation policies on the cryptocurrency market. The prediction for the future regulation tendency is also included. In addition, this study focuses on the case of the Republic of El Salvador's adoption of bitcoin as legal tender, feasibility, risks, and advantages and disadvantages of bitcoin as legal tender.

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Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach

Cited by 48 publications

References 78 publications

Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities

Key Roles of Crypto-Exchanges in Generating Arbitrage Opportunities

Investigating the Market Linkages between Cryptocurrencies and Conventional Assets

The Investment Value and the Current Regulation of Cryptocurrencies Market Under the Confusion

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