Financial Engineering Seminar Series: Jingrui (Victoria) Li

Several golden cryptocurrencies highlighting the Bitcoin coin with graphics in blue color.

"Pricing and Arbitrage across 80 Cryptocurrency Exchanges"

Abstract

We explore variations in cryptocurrency pricing in cryptocurrencies across 80 cryptocurrency exchanges worldwide, focusing on the top 30 highly liquid cryptocurrencies. Our analysis reveals that from 2019 to 2023, the arbitrage spread of Bitcoin, the most widely recognized cryptocurrency, ranges from 8.67% to 15.69% across various exchanges. Arbitrage spreads are significantly higher on non-trustworthy and non-US domiciled exchanges. Moreover, decentralized exchanges exhibit higher arbitrage spreads than their centralized counterparts. Through identification, we find that this disparity becomes more pronounced following the introduction of "Flashbots Protocol" and "DeFi Summer". Conversely, stablecoins and high-liquidity cryptocurrencies exhibit smaller arbitrage spreads.

Biography

Headshot of Jingrui Li

Victoria Li is tenure-track Assistant Professor in FinTech at the School of Business of Stevens Institute of Technology. She is also a Visiting Scholar in the Finance Department at the Leonard N. Stern School of Business at New York University. Her research and teaching interests are in fintech (cryptocurrencies, artificial intelligence, LLM) and asset pricing (theoretical and empirical asset pricing, derivatives, investments and market microstructure). She has published in Journal of Banking and Finance, Quantitative Finance, Journal of Corporate Finance.

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