英文标题：
《Building Trust Takes Time: Limits to Arbitrage in Blockchain-Based
Markets》
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作者：
Nikolaus Hautsch, Christoph Scheuch, Stefan Voigt
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最新提交年份：
2021
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英文摘要：
Distributed ledger technologies replace central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows down cross-market trading and exposes arbitrageurs to price risk. We theoretically derive arbitrage bounds induced by settlement latency. Using Bitcoin orderbook and network data, we estimate average arbitrage bounds of 121 basis points, explaining 91% of the cross-market price differences, and demonstrate that asset flows chase arbitrage opportunities. Controlling for inventory holdings as a measure of trust in exchanges does not affect our main results. Blockchain-based settlement without trusted intermediation thus introduces a non-trivial friction that impedes arbitrage activity.
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中文摘要：
分布式账本技术用耗时的共识协议取代中央交易对手，以记录所有权转让。这种结算延迟减缓了跨市场交易，并使套利者面临价格风险。我们从理论上推导了结算延迟引起的套利边界。使用比特币订单和网络数据，我们估计平均套利边界为121个基点，解释了91%的跨市场价格差异，并证明资产流追逐套利机会。控制库存作为衡量交易所信任度的一种手段，并不影响我们的主要结果。因此，没有可信中介的基于区块链的结算引入了阻碍套利活动的非平凡摩擦。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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