期货和现货市场套利与比特币价格变动的关系:来自比特币市场的证据

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-02-08 DOI:10.2139/ssrn.3209625

Takahiro Hattori, Ryo Ishida

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引用次数: 19

摘要

我们研究投资者如何在比特币现货和期货市场套利。利用芝加哥期权交易所(CBOE)的盘中数据，我们重构了投资者面临的实际套利情况。我们发现，在“正常”市场中套利获利机会很少，但在比特币市场“崩盘”时套利获利机会较大。

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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The Relationship Between Arbitrage in Futures and Spot Markets and Bitcoin Price Movements: Evidence From the Bitcoin Markets

We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange (CBOE), we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in “normal” markets, but large arbitrage profit opportunities arise during Bitcoin market “crashes".

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ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)

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