A0750
Title: Arbitrage and liquidity contagion
Authors: Kumushoy Abduraimova - Durham University (United Kingdom) [presenting]
Abstract: Prices of cryptocurrencies can differ across various trading venues, and those differences can persist over extended periods of time. Arbitrageurs aim to take advantage of the price differences (spreads) and, by doing so, can affect the market liquidity on those venues. Understanding the dynamics of cross-market liquidity is very important for the market participants, as the trading of cryptocurrencies is highly fragmented. Network approaches are applied to study the propagation of liquidity shocks in relation to the changes in spreads on different venues. Specifically, high-frequency network snapshots of spreads and liquidity contagion metrics are constructed for bitcoin prices on over 20 largest exchanges. The findings indicate a significant relationship between spreads and liquidity across the network. Moreover, it is found that the network centrality is related to the price discovery of a particular trading venue as measured by its information share.
