Metody arbitráže na vybraných trzích kryptoměn

Bc. Enriko Fischer

Master's thesis

Arbitrage methods in selected cryptocurrency markets

Abstract:

The thesis discusses methods of cryptocurrency arbitrage and their principles. Triangular arbitrage and funding rate arbitrage are tested on historical data of the Binance exchange in the period from 1/1/2021 to 31/12/2022. Arbitrage opportunities have been proven to exist during this period. Triangular arbitrage with fiat currency was more profitable than using stable coin, which may be due to higher volatility. Funding rate arbitrage provided the lowest returns, but still quite attractive and easily achievable.

Abstract:

V práci su rozobrané metódy arbitráží na kryptomenách a ich princípy. Triangulárna arbitráž a funding rate arbitráž je testovaná na historických dátach burzy Binance v období od 1.1.2021 do 31.12.2022. Bolo preukázané, že arbitrážne príležitosti v tomto období existovali. Triangulárna arbitráž s fiat menou bola viac zisková ako pri použití stable coinu, čo môže byť spôsobené vyššou volatilitou. Funding rate arbitráž poskytovala najnižšie výnosy, no stále dosť atraktívne a jednoducho dosiahnuteľné.

Keywords

arbitráž, metódy arbitráže, triangulárna arbitráž, funding rate arbitráž, kryptomeny, stable coin, fiat mena, slippage, medziburzovná arbitráž, cash &, carry arbitráž, štatistická arbitráž, spread arbitráž, priestorová arbitráž, Binance, arbitrage, arbitrage methods, triangular arbitrage, funding rate arbitrage, cryptocurrencies, fiat currency, cross-exchange arbitrage, carry, statistical arbitrage, spread arbitrage, spatial arbitrage

Language used: Slovak

Date on which the thesis was submitted / produced: 12. 5. 2023

Thesis defence

• Date of defence: 20. 6. 2023
• Supervisor: doc. Ing. Tomáš Plíhal, Ph.D.
• Reader: prof. Ing. Štefan Lyócsa, PhD.

Masaryk University

Faculty of Economics and Administration

Master programme / field:
Finance / Finance