We investigate how exchange default risk and liquidity affect Bitcoin cross-exchange arbitrage opportunities. Analysing minute-level data from 16 cryptocurrency exchanges (April 2013–April 2024), we find arbitrage opportunities last longer when higher-risk exchanges have higher prices, as traders are cautious of default risks. There is a strong positive relation between capital flows from high-risk to low-risk exchanges and arbitrage opportunities, showing a preference for safer exchanges. Liquidity accelerates arbitrage by enabling faster execution, but high transaction fees and blockchain congestion slow capital transfers. The paper highlights exchange risk, liquidity, and transaction costs as key factors in Bitcoin market efficiency.

中文翻译：

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比特币套利和交易所违约风险


我们研究了交易所违约风险和流动性如何影响比特币跨交易所套利机会。分析来自 16 家加密货币交易所（2013 年 4 月至 2024 年 4 月）的分钟级数据，我们发现，由于交易员对违约风险持谨慎态度，当高风险交易所的价格较高时，套利机会的持续时间会更长。从高风险交易所流向低风险交易所的资本与套利机会之间存在很强的正相关关系，这表明人们更倾向于更安全的交易所。流动性通过实现更快的执行来加速套利，但高昂的交易费用和区块链拥堵会减慢资金转移。本文强调，交易所风险、流动性和交易成本是影响比特币市场效率的关键因素。