Graduation Year
2020
Date of Submission
6-2020
Document Type
Campus Only Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Professor Fan Yu, Ph.D.
Terms of Use & License Information
Rights Information
2020 Vladyslav Ivanov
Abstract
Previous studies demonstrate the existence of recurrent arbitrage opportunities in the cryptocurrency market and describe strategies that can be used to profit from them. There is, however, limited research describing the practical aspects and challenges of adopting such strategies. This paper covers the design, implementation, and evaluation of the high-frequency intramarket arbitrage strategy on the leading cryptocurrency exchange Binance. It also describes the notion of arbitrage, cryptocurrency market, and the approaches to implementing the automated trading system. Methods for assets selection, arbitrage detection algorithms, optimization, and real-time testing are discussed. The research findings confirm the existence of the expected market inefficiencies leading to the arbitrage opportunities and the profitability of the implemented system under certain trading conditions.
Recommended Citation
Ivanov, Vladyslav, "High-Frequency Intramarket Cryptocurrency Arbitrage" (2020). CMC Senior Theses. 2365.
https://scholarship.claremont.edu/cmc_theses/2365
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.
