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Wish or reality? : On the exploitability of triangular arbitrage in cryptocurrency markets
Muck, Matthias; Schmidl, Thomas; Wolf, Julian (2025): Wish or reality? : On the exploitability of triangular arbitrage in cryptocurrency markets, in: Bamberg: Otto-Friedrich-Universität, S. 1–9.
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Publisher Information:
Year of publication:
2025
Pages:
Source/Other editions:
Finance Research Letters, New York: Elsevier Science, 2025, Jg. 73, Nr. 106508, S. 1–9, ISSN: 1544-6123
Year of first publication:
2025
Language:
English
Abstract:
This study investigates the efficiency of cryptocurrency markets by examining the presence and exploitability of arbitrage opportunities. Using high-frequency data from the Binance Exchange, we implement a triangular arbitrage strategy, considering Bitcoin, Litecoin, and the U.S. Dollar. We find 4,879 possible arbitrage opportunities. Although these findings suggest potential inefficiencies, transaction costs and limited trading volumes in the order book eliminate their profitability. Consequently, centralized cryptocurrency markets exhibit a high degree of efficiency. Moreover, our results suggest that the mere number of triangular arbitrage opportunities is not a reliable indicator of market inefficiency.
Keywords: ; ;
Triangular arbitrage
Cryptocurrencies
Market efficiency
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Peer Reviewed:
Yes:
International Distribution:
Yes:
Type:
Article
Activation date:
May 8, 2025
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https://fis.uni-bamberg.de/handle/uniba/107497