This study investigates the efficiency of cryptocurrency markets by examining the presence and exploitability of arbitrage opportunities. Using high-frequency data from the Binance Exchange, we implement a triangular arbitrage strategy, considering Bitcoin, Litecoin, and the U.S. Dollar. We find 4,879 possible arbitrage opportunities. Although these findings suggest potential inefficiencies, transaction costs and limited trading volumes in the order book eliminate their profitability. Consequently, centralized cryptocurrency markets exhibit a high degree of efficiency. Moreover, our results suggest that the mere number of triangular arbitrage opportunities is not a reliable indicator of market inefficiency.

中文翻译：

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愿望还是现实？关于三角套利在加密货币市场中的可利用性


本研究通过检查套利机会的存在和可利用性来调查加密货币市场的效率。使用来自币安交易所的高频数据，我们实施了三角套利策略，考虑了比特币、莱特币和美元。我们发现了 4,879 个可能的套利机会。尽管这些发现表明潜在的效率低下，但订单簿中的交易成本和有限的交易量消除了他们的盈利能力。因此，集中式加密货币市场表现出高度的效率。此外，我们的结果表明，仅仅三角套利机会的数量并不是市场效率低下的可靠指标。