Elsevier
Finance Research Letters
,  volume 73 ,  pages 106508

Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets

Publication type: Journal Article
Publication date: 2025-03-01
Elsevier
scimago Q1
wos Q1
SJR: 1.711
CiteScore: 10.7
Impact factor: 6.9
ISSN: 15446123, 15446131
Abstract
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.
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GOST Copy
Muck M. et al. Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets // Finance Research Letters. 2025. Vol. 73. p. 106508.
GOST all authors (up to 50) Copy
Muck M., Schmidl T., Wolf J. Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets // Finance Research Letters. 2025. Vol. 73. p. 106508.
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RIS Copy
TY - JOUR
DO - 10.1016/j.frl.2024.106508
UR - https://linkinghub.elsevier.com/retrieve/pii/S154461232401537X
TI - Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets
T2 - Finance Research Letters
AU - Muck, Matthias
AU - Schmidl, Thomas
AU - Wolf, Julian
PY - 2025
DA - 2025/03/01
PB - Elsevier
SP - 106508
VL - 73
SN - 1544-6123
SN - 1544-6131
ER -
BibTex
Cite this
BibTex (up to 50 authors) Copy
@article{2025_Muck,
author = {Matthias Muck and Thomas Schmidl and Julian Wolf},
title = {Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets},
journal = {Finance Research Letters},
year = {2025},
volume = {73},
publisher = {Elsevier},
month = {mar},
url = {https://linkinghub.elsevier.com/retrieve/pii/S154461232401537X},
pages = {106508},
doi = {10.1016/j.frl.2024.106508}
}