Past Work · Research
Cross-Exchange
Crypto Arbitrage.
"Cross-Exchange Arbitrage and Market Efficiency in Cryptocurrency Markets": a data-driven empirical analysis of pricing inefficiencies across major cryptocurrency exchanges, evaluating whether arbitrage opportunities persist in a modern, increasingly institutionalized crypto market.
I built a dataset of daily price data for Bitcoin, Ethereum, and Solana across Coinbase, Binance, Kraken, and Bitfinex, with over 1,400 matched observations per asset after cleaning and standardizing across time zones. I incorporated real-world trading frictions (exchange fees, withdrawal costs, on-chain transaction fees, transfer delays) and applied regression modeling and variance decomposition to evaluate systematic versus idiosyncratic arbitrage risk, and tested whether spreads move with the VIX.
Key findings
- Price gaps appear consistently, but almost none are profitable after costs; fees alone erased over 99% of theoretical Bitcoin profit.
- Transfer delays add meaningful execution risk from price moves during settlement.
- Ethereum showed occasional profitable windows, but they were small and short-lived.
- Spreads showed little to no link to the VIX, pointing to market structure rather than macro volatility as the driver.
The takeaway: even in an emerging asset class, markets become highly efficient once real costs and execution constraints are counted.