Trading and Arbitrage in Cryptocurrency Markets

@article{Makarov2020TradingAA,
  title={Trading and Arbitrage in Cryptocurrency Markets},
  author={I. A. Makarov and Antoinette Schoar},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  year={2020}
}
Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price deviations are much larger across than within countries, and smaller between cryptocurrencies, highlighting the importance of capital controls for the movement of arbitrage capital. Price deviations across countries co-move and open up in times of large bitcoin appreciation. Countries with higher bitcoin premia over the US bitcoin price see widening arbitrage deviations when bitcoin… 
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