Title: Trading and arbitrage with stablecoins
Authors: Gerald Dwyer - Clemson University (United States) [presenting]
Peiyun Jin - Clemson University (United States)
Abstract: Trades data and order book from 13 exchanges are examined to study the arbitrage opportunities in stablecoins. Using snapshots of the order book data, we find that occasional prices far from the arbitrage-free prices (flash crashes) are real. Flash crashes invariably are associated with unusually large aggregate trading volume. We also examine arbitrage profitability and fee structure for stablecoin-USD and stablecoin-stablecoin. The results show that after subtracting fees, there are still positive arbitrage profits. We also compare the efficiency of Decentralized Exchanges (DEXs) and Centralized Exchanges (CEXs). Our results are consistent with DEXs and CEXs being equally efficient.