Bitcoin is a digital currency started in early 2009 by its inventor under the pseudo- nym of Satoshi Nakamoto. In the last few years, Bitcoin has received much attention and has shown a surprising price increase. Bitcoin is currently traded on many web- exchanges making it a rare example of a good for which different prices are readily available; this feature implies important issues about arbitrage opportunities since prices on different exchanges are shown to be driven by the same risk factor. In this paper, we show that simple strategies of strong arbitrage arise by trading across dif- ferent Bitcoin exchanges taking advantage of the common risk factor. The suggested arbitrage strategies are based on two alternative model specifications. Precisely, we consider the multivariate versions of Black and Scholes model and of an attention- based dynamics recently introduced in the literature.
Model-based arbitrage in multi-exchange models for Bitcoin price dynamics
Cretarola, Alessandra;
2019-01-01
Abstract
Bitcoin is a digital currency started in early 2009 by its inventor under the pseudo- nym of Satoshi Nakamoto. In the last few years, Bitcoin has received much attention and has shown a surprising price increase. Bitcoin is currently traded on many web- exchanges making it a rare example of a good for which different prices are readily available; this feature implies important issues about arbitrage opportunities since prices on different exchanges are shown to be driven by the same risk factor. In this paper, we show that simple strategies of strong arbitrage arise by trading across dif- ferent Bitcoin exchanges taking advantage of the common risk factor. The suggested arbitrage strategies are based on two alternative model specifications. Precisely, we consider the multivariate versions of Black and Scholes model and of an attention- based dynamics recently introduced in the literature.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
