Pricing and arbitrage in cryptocurrency markets

Cryptocurrencies have garnered an increasing amount of attention and grown dramatically in value. Like financial assets, they are traded continuously across a number of exchanges. This thesis presents the design and implementation of a system for real-time data collection of pricing and trading activity for four cryptocurrencies across three exchanges. Using the data collected for the US Dollar to cryptocurrency order books from May 4, 2018 to May 9, 2018 we find that arbitrage opportunities exist in 0.03% to 40.38% of five-second intervals depending on the specific cryptocurrency and exchanges considered. Analysis of the signed trading volume shows that trading behavior differs in the presence of these arbitrage opportunities, but we find only weak evidence suggesting that market participants actively exploit such opportunities on sub-minute timescales.

Name thesis:degree_name

Master

Department dc:contributor.department

Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2018

Author dc:creator

• Hajare, Neel(Neel A.)

Advisor dc:contributor.advisor

• Haoxiang Zhu.

• Electrical Engineering and Computer Science.

Statement dc:rights

• MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

https://hdl.handle.net/1721.1/121626

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/121626