Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2024-02-17 DOI:10.1093/rof/rfae004

Nikolaus Hautsch, Christoph Scheuch, Stefan Voigt

引用次数: 0

Abstract

A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement, instead, exposes arbitrageurs to costly default risk. We show with Bitcoin network and order book data that cross-exchange price differences coincide with periods of high settlement latency, asset flows chase arbitrage opportunities, and price differences across exchanges with low default risk are smaller. Blockchain-based trading thus faces a dilemma: Reliable consensus protocols require time-consuming settlement latency, leading to arbitrage limits. Circumventing such arbitrage costs is possible <italic>only</italic> by reinstalling trusted intermediation, which mitigates default risk.

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建立信任需要时间：区块链资产套利的局限性

区块链用耗时的共识协议取代了中央交易方来记录所有权的转移。这种结算延迟会减缓跨交易所交易，使套利者面临价格风险。相反，链外结算会让套利者面临代价高昂的违约风险。我们利用比特币网络和订单簿数据表明，跨交易所的价格差异与高结算延迟、资产流动追逐套利机会的时期相吻合，而违约风险低的交易所之间的价格差异较小。因此，基于区块链的交易面临两难境地：可靠的共识协议需要耗时的结算延迟，从而导致套利限制。要规避这种套利成本<italic>只能</italic>通过重新安装可信中介来减轻违约风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.