AN ASSESSMENT OF TRIANGULAR ARBITRAGE OPPORTUNITIES BETWEEN CRYPTOCURRENCY AND FIAT CURRENCY EXCHANGES. PREDICTORS AND FINANCIAL RATIONALE

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dc.contributor.authorAlmen, Anar
dc.contributor.authorZhaipanov, Dosmukhamed
dc.contributor.authorDauletkhanuly, Yeldos
dc.date.accessioned2023-12-27T06:20:41Z
dc.date.available2023-12-27T06:20:41Z
dc.date.issued2021-12-21
dc.description.abstractThis study assesses the eventual existence of triangular arbitrages between crypto and fiat currencies and analyzes economic factors which might contribute to the appearance of such opportunities. In particular, the authors look at core alphas of arbitrage based on crypto to fiat exchanges in two different crypto open source exchanges. By examining the existence of any statistically significant alphas, we find that this opportunity exists and might be exploitable for the US based exchange, Coinmarketcap. Similarly, triangular arbitrage exists, but are much smaller in the Coingecko exchange. This finding demonstrates the existence of discrepancies between exchanges. Furthermore, regression analyses indicate that Bitcoin is more sensitive to commodity prices changes as compared to Ethereum. In addition, we find that google searches related to cryptocurrencies are a strong predictor of arbitrage opportunities in triangular sets including Ethereum. In contrast, google trend aggregator data had almost no effect on Bitcoin containing exchange triplets. Additionally, proximity to the market plays a significant role in determining impact of central bank monthly T-bill rate on quotation volatility and subsequent arbitrage opportunities.en_US
dc.identifier.citationAlmen Anar et al. (2021) An assessment of triangular arbitrage opportunities between cryptocurrency and fiat currency exchanges. Predictors and financial rationale. Nazarbayev University, Graduate School of Businessen_US
dc.identifier.urihttp://nur.nu.edu.kz/handle/123456789/7564
dc.language.isoenen_US
dc.publisherNazarbayev University, Graduate School of Businessen_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectTriangular arbitrageen_US
dc.subjectCryptocurrencyen_US
dc.subjectBitcoinen_US
dc.subjectEthereumen_US
dc.subjectType of access: Restricteden_US
dc.titleAN ASSESSMENT OF TRIANGULAR ARBITRAGE OPPORTUNITIES BETWEEN CRYPTOCURRENCY AND FIAT CURRENCY EXCHANGES. PREDICTORS AND FINANCIAL RATIONALEen_US
dc.typeMaster's thesisen_US
workflow.import.sourcescience

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