| รหัสดีโอไอ | 10.14456/sjst-psu.2022.113 |
|---|---|
| Creator | 1. Naratorn Boonpeam 2. Warodom Werapun 3. Tanakorn Karode 4. Esther Sangiamkul |
| Title | The automated equity-split cryptocurrency arbitrage strategy |
| Publisher | Research and Development Office, Prince of Songkla University |
| Publication Year | 2022 |
| Journal Title | Songklanakarin Journal of Science an Technology (SJST) |
| Journal Vol. | 44 |
| Journal No. | 3 |
| Page no. | 845-851 |
| Keyword | cryptocurrency, arbitrage, strategy, equity, market |
| URL Website | https://rdo.psu.ac.th/sjst/index.php |
| ISSN | 0125-3395 |
| Abstract | Cryptocurrency prices frequently fluctuate, which creates price differences in each market. The price gap presents anexcellent opportunity for arbitrage in cryptocurrency markets. Arbitrage occurs when a token is purchased in one market andsimultaneously sold in another market for a higher price. This paper proposes the arbitrage strategy with automated equity-splitcryptocurrency between the largest market and the Thai market. We program the algorithm to match order books with a feededuction for capturing an investment position size. A suitable threshold helps prevent investment losses from other factors, suchas execution risk or price slippages. The strategy is proven by verifying it with a calculated trade compared to actual execution attargeted markets. The strategy is examined in terms of profitability, accuracy, and utility. It could generate high profits in thelong run. It incorporates hedging to produce approximately 225.32% APY (of $22,500 port size) without price risk. The systemhas positive errors, which induce more profits than the predicted results. The strategy requires automation to maximize a profit,which is infeasible with manual execution. Eventually, the proposed system achieves all aspects of the analysis. |
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