Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events

Abstract

This paper examines the impact of market related events and investor base on the spread of Bitcoin prices between two exchange platforms, Coinbase and Binance. Based on high-frequency data samples collected from 2019 to 2021, we show how investors from different bases react differently to market related events, which create the price spreads between exchange platforms. We also identify the arbitrage opportunities these spreads create and establish arbitrage strategies for all identified events to exploit the variations in Bitcoin prices traded on both platforms. Findings indicate arbitrage offers profits that are higher overall than holding Bitcoin on either platform.