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RESEARCH PRODUCT

Arbitrage Opportunities in Ethereum Markets

Jørgen KvilhaugsvikPatrick Klubben Lavik

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This paper is an examination of the exploitability of arbitrage opportunities in Ethereum markets. Using 1-minute candlestick data from 2021 on three cryptocurrency exchanges we find substantial and frequent price deviations. However, these deviations are of a much smaller magnitude compared to the findings in recent research. By using data on trading fees and volume, we find the arbitrage profits. We interpret our findings through strategies for exploitation and find that exploitable arbitrage opportunities do exist in Ethereum markets.

yearjournalcountryeditionlanguage
2022-01-01
https://hdl.handle.net/11250/3010444