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Statistik › Krypto › Cross-venue spreads

Bitcoin's famous cross-exchange spreads were a capital controls story

US to Korea as computed: 930+930US to Koreaas computedUS to Japan as computed: 322+322US to Japanas computedUS to Korea volume-adjusted: 1275+1275US to Koreavolume-adjustedUS to Japan volume-adjusted: 675+675US to Japanvolume-adjusted

Realised arbitrage profits in millions of US dollars, November 2017 to February 2018. The adjusted figures scale up for exchanges without signed volume data. Full price sample runs 1 January 2017 to 28 February 2018. The paper's own text is inconsistent in one place, referring to returns from January 2016 in a different section.

Within one country Bitcoin price deviations typically do not exceed one percent. Between the United States and Korea the daily average price ratio passed fifteen percent for two months and reached forty percent on several days, and the binding constraint was banking access rather than execution.

Under 1%Typical Bitcoin price deviation between exchanges in the same country
Over 15%US to Korea daily average price ratio, December 2017 to early February 2018
$930mRealised arbitrage profits, US to Korea, as computed
0.29Slope of spread correlation on pairwise capital control tightness, significant at 1%

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