加密货币的定价效率：集中和分散市场的案例

IF 3.3 Q1 BUSINESS, FINANCE

JOURNAL OF ECONOMICS AND BUSINESS Pub Date : 2025-01-01 DOI:10.1016/j.jeconbus.2024.106224

Lucas Mussoi Almeida , Marcelo Scherer Perlin , Fernanda Maria Müller

{"title":"加密货币的定价效率：集中和分散市场的案例","authors":"Lucas Mussoi Almeida , Marcelo Scherer Perlin , Fernanda Maria Müller","doi":"10.1016/j.jeconbus.2024.106224","DOIUrl":null,"url":null,"abstract":"<div><div>This article presents a comparative analysis of the Ethereum (ETH) weak form of market efficiency priced in Bitcoin (BTC), Dai (DAI), and Tether (USDT). The investigation encompasses data from Uniswap-V2, a decentralized app utilizing a Constant Product Market Maker (CFMM) for cryptocurrency pricing, and Binance, a centralized exchange. The study employs different rolling windows to apply the asymmetric MF-DFA. The efficiency of exchange pairs is ranked using the market deficiency measure (MDM). Besides aligning with the literature, revealing an efficiency increase with larger rolling window sizes across centralized and decentralized exchanges and overall, upward and downward trends, our findings reveal that the CFMM employed by Uniswap-V2 leads to a more efficient market for the ETH-BTC pair compared to Binance, making it among the first studies to compare efficiency across these exchanges types. To delve deeper into this phenomenon and explore the dynamics between distinct pricing mechanisms, the Thermal Optimal Path is employed. The analysis highlights a lead-lag relationship between ETH prices in centralized and decentralized exchanges. The results suggest that market efficiency emerges first in the decentralized exchange, particularly when ETH is priced in BTC. The asymmetric MF-DFA was also employed on the pairs datasets before and after the Ethereum 2.0 hard fork. The findings of this analysis revealed significant results indicating that following the fork, Uniswap-V2 exhibited superior market efficiency compared to Binance for the majority of overall and downward trends, a phenomenon that was not observed prior to the merge. These findings contribute to the existing literature on cryptocurrency market efficiency by emphasizing the influence of network upgrades in trading platforms. Notably, this research reveals that, for the ETH-BTC pair, decentralized exchanges exhibit superior a level of weak form efficiency.</div></div>","PeriodicalId":47522,"journal":{"name":"JOURNAL OF ECONOMICS AND BUSINESS","volume":"133 ","pages":"Article 106224"},"PeriodicalIF":3.3000,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Pricing efficiency in cryptocurrencies: The case of centralized and decentralized markets\",\"authors\":\"Lucas Mussoi Almeida , Marcelo Scherer Perlin , Fernanda Maria Müller\",\"doi\":\"10.1016/j.jeconbus.2024.106224\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This article presents a comparative analysis of the Ethereum (ETH) weak form of market efficiency priced in Bitcoin (BTC), Dai (DAI), and Tether (USDT). The investigation encompasses data from Uniswap-V2, a decentralized app utilizing a Constant Product Market Maker (CFMM) for cryptocurrency pricing, and Binance, a centralized exchange. The study employs different rolling windows to apply the asymmetric MF-DFA. The efficiency of exchange pairs is ranked using the market deficiency measure (MDM). Besides aligning with the literature, revealing an efficiency increase with larger rolling window sizes across centralized and decentralized exchanges and overall, upward and downward trends, our findings reveal that the CFMM employed by Uniswap-V2 leads to a more efficient market for the ETH-BTC pair compared to Binance, making it among the first studies to compare efficiency across these exchanges types. To delve deeper into this phenomenon and explore the dynamics between distinct pricing mechanisms, the Thermal Optimal Path is employed. The analysis highlights a lead-lag relationship between ETH prices in centralized and decentralized exchanges. The results suggest that market efficiency emerges first in the decentralized exchange, particularly when ETH is priced in BTC. The asymmetric MF-DFA was also employed on the pairs datasets before and after the Ethereum 2.0 hard fork. The findings of this analysis revealed significant results indicating that following the fork, Uniswap-V2 exhibited superior market efficiency compared to Binance for the majority of overall and downward trends, a phenomenon that was not observed prior to the merge. These findings contribute to the existing literature on cryptocurrency market efficiency by emphasizing the influence of network upgrades in trading platforms. Notably, this research reveals that, for the ETH-BTC pair, decentralized exchanges exhibit superior a level of weak form efficiency.</div></div>\",\"PeriodicalId\":47522,\"journal\":{\"name\":\"JOURNAL OF ECONOMICS AND BUSINESS\",\"volume\":\"133 \",\"pages\":\"Article 106224\"},\"PeriodicalIF\":3.3000,\"publicationDate\":\"2025-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"JOURNAL OF ECONOMICS AND BUSINESS\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0148619524000663\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"JOURNAL OF ECONOMICS AND BUSINESS","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0148619524000663","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

本文对以比特币（BTC）、代币（Dai）和Tether （USDT）定价的以太坊（ETH）弱形式的市场效率进行了比较分析。该调查包括Uniswap-V2和Binance的数据，Uniswap-V2是一款使用恒定产品市场制造商（CFMM）进行加密货币定价的去中心化应用程序，Binance是一个集中的交易所。研究采用不同的滚动窗来应用非对称MF-DFA。使用市场缺陷度量（MDM）对货币对的效率进行排名。除了与文献保持一致，揭示集中式和去中心化交易所的滚动窗口尺寸增大以及总体向上和向下趋势的效率提高外，我们的研究结果还显示，与币安相比，Uniswap-V2采用的CFMM为ETH-BTC对带来了更有效的市场，使其成为首批比较这些交易所类型效率的研究之一。为了更深入地研究这一现象，并探索不同定价机制之间的动态关系，我们采用了热最优路径。该分析强调了中心化和去中心化交易所中ETH价格之间的领先滞后关系。结果表明，市场效率首先出现在去中心化交易所，特别是当ETH以BTC定价时。非对称MF-DFA也被用于以太坊2.0硬分叉前后的配对数据集。该分析的结果显示，在分叉之后，与币安相比，Uniswap-V2在大多数整体和下行趋势中表现出更高的市场效率，这是合并之前没有观察到的现象。这些发现通过强调交易平台中网络升级的影响，有助于现有文献对加密货币市场效率的研究。值得注意的是，本研究表明，对于ETH-BTC对，去中心化交易所表现出更高的弱形式效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Pricing efficiency in cryptocurrencies: The case of centralized and decentralized markets

This article presents a comparative analysis of the Ethereum (ETH) weak form of market efficiency priced in Bitcoin (BTC), Dai (DAI), and Tether (USDT). The investigation encompasses data from Uniswap-V2, a decentralized app utilizing a Constant Product Market Maker (CFMM) for cryptocurrency pricing, and Binance, a centralized exchange. The study employs different rolling windows to apply the asymmetric MF-DFA. The efficiency of exchange pairs is ranked using the market deficiency measure (MDM). Besides aligning with the literature, revealing an efficiency increase with larger rolling window sizes across centralized and decentralized exchanges and overall, upward and downward trends, our findings reveal that the CFMM employed by Uniswap-V2 leads to a more efficient market for the ETH-BTC pair compared to Binance, making it among the first studies to compare efficiency across these exchanges types. To delve deeper into this phenomenon and explore the dynamics between distinct pricing mechanisms, the Thermal Optimal Path is employed. The analysis highlights a lead-lag relationship between ETH prices in centralized and decentralized exchanges. The results suggest that market efficiency emerges first in the decentralized exchange, particularly when ETH is priced in BTC. The asymmetric MF-DFA was also employed on the pairs datasets before and after the Ethereum 2.0 hard fork. The findings of this analysis revealed significant results indicating that following the fork, Uniswap-V2 exhibited superior market efficiency compared to Binance for the majority of overall and downward trends, a phenomenon that was not observed prior to the merge. These findings contribute to the existing literature on cryptocurrency market efficiency by emphasizing the influence of network upgrades in trading platforms. Notably, this research reveals that, for the ETH-BTC pair, decentralized exchanges exhibit superior a level of weak form efficiency.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

JOURNAL OF ECONOMICS AND BUSINESS BUSINESS, FINANCE-

CiteScore

6.20

自引率

2.60%

发文量

期刊介绍： Journal of Economics and Business: Studies in Corporate and Financial Behavior. The Journal publishes high quality research papers in all fields of finance and in closely related fields of economics. The Journal is interested in both theoretical and applied research with an emphasis on topics in corporate finance, financial markets and institutions, and investments. Research in real estate, insurance, monetary theory and policy, and industrial organization is also welcomed. Papers that deal with the relation between the financial structure of firms and the industrial structure of the product market are especially encouraged.