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衡量币安上的间接币种兑换与三角套利

文章 arXiv papers · 作者: Paz Grimberg et al.
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总结

该研究提出一些方法，用于识别和衡量币安历史成交数据中的程序化交易活动。研究聚焦间接内部兑换：交易者通过中间币将一种币兑换成另一种币，并获得比直接兑换更有利的汇率。作者将这种活动归类为三角套利的子策略，并研究其盈利能力和风险，包括机器人降低损失的两种方式。

据报告，该汇率比直接汇率高0.144%，即14.4个基点；该策略被认为占币安全部交易的2.71%。这些估算描述的是利用历史成交数据对一家中心化交易所活动所作的分析。摘录未提供观察期间、实现细节，也未提供证据证明所测得的价格优势在计入手续费、执行限制和其他成本后仍能盈利。

核心观点

  • 间接兑换通过中间币进行交易，以争取优于直接交易的汇率。
  • 该研究将此类行为视为三角套利的一种子策略。
  • 作者使用币安历史成交数据衡量该策略的普及程度、盈利能力和风险。
  • 作者报告了0.144%的汇率优势，并将2.71%的交易归因于该策略。
  • 摘录未证明该优势能否经受实际交易成本和执行限制。

标签

加密资产套利市场微观结构交易执行
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# Empirical Analysis of Indirect Internal Conversions in Cryptocurrency Exchanges


# Empirical Analysis of Indirect Internal Conversions in Cryptocurrency Exchanges









Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Trading Commission (CFTC) attributed the $2010$ flash crash, one of the most turbulent periods in the history of financial markets that saw the Dow Jones Industrial Average lose $9\%$ of its value within minutes, to automated order "spoofing" algorithms. In this paper, we build a set of methodologies to characterize and empirically measure different algorithmic trading strategies in Binance, a large centralized cryptocurrency exchange, using a complete data set of historical trades. We find that a sub-strategy of triangular arbitrage is widespread, where bots convert between two coins through an intermediary coin, and obtain a favorable exchange rate compared to the direct one. We measure the profitability of this strategy, characterize its risks, and outline two strategies that algorithmic trading bots use to mitigate their losses. We find that this strategy yields an exchange ratio that is $0.144\%$, or $14.4$ basis points (bps) better than the direct exchange ratio. $2.71\%$ of all trades on Binance are attributable to this strategy.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。