Arbitrage opportunities and efficiency tests in crypto derivatives

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-08-03 DOI:10.1016/j.finmar.2024.100930

Carol Alexander, Xi Chen, Jun Deng, Tianyi Wang

引用次数: 0

Abstract

We test the joint efficiency of the bitcoin and ether options and perpetual futures markets and identify the determinants of arbitrage opportunities. Our novel fiat-currency-free put–call parity relationship motivates new arbitrage tests for options-only and option–perpetual cross-markets. Bitcoin and ether derivatives markets are becoming more efficient, especially for options of maturity 15 days. Bitcoin derivative markets are generally more efficient than ether derivative markets, but arbitrage strategies can still be highly profitable even under conservative transaction cost scenarios, which include slippage for large orders, especially during periods of high trading volumes or when the blockchain traffic becomes more congested.

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加密货币衍生品中的套利机会和效率测试

我们测试了比特币和以太币期权与永久期货市场的联合效率，并确定了套利机会的决定因素。我们新颖的无法币看跌-看涨平价关系激发了对纯期权和期权-永久跨市场的新套利测试。比特币和以太币衍生品市场正变得越来越有效，特别是对于 15 天到期的期权。比特币衍生品市场的效率普遍高于以太币衍生品市场，但即使在保守的交易成本情况下，套利策略仍能获得高额利润，其中包括大订单的滑点，尤其是在交易量大或区块链流量变得更加拥堵的时期。

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

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.