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Price dispersion in bitcoin exchanges. (English) Zbl 1451.91236

Summary: Bitcoin is traded in a number of exchanges, and there is a large and time-varying price dispersion among them. We identify the sources of price dispersion using a standard time-varying vector autoregression model with stochastic volatility, and we find that shocks to transaction fees and bitcoin price growth explain on average 20%, and sometimes more than 60%, of the variation of price dispersion.

MSC:

91G99 Actuarial science and mathematical finance
62P05 Applications of statistics to actuarial sciences and financial mathematics

Software:

bvarsv
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References:

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