01 / QUANT · CRYPTO
Cross-Exchange Cryptocurrency Arbitrage Analysis
A multi-exchange analytical pipeline for evaluating whether apparent cryptocurrency arbitrage opportunities remained profitable after realistic market frictions.
Problem
Price differences across cryptocurrency exchanges may appear profitable, but fees, liquidity, slippage, transfer delays, and operational constraints can eliminate the opportunity.
Context
Cross-market inefficiencies in cryptocurrency venues require executability-aware analysis rather than raw price-gap observation.
Work completed
- Collected and processed high-frequency Level-2 order-book data.
- Collected trade, price, and market-depth data.
- Covered Nobitex, Wallex, Bitpin, and Ramzinex.
- Built a scalable financial market database.
- Created an analytical framework for cross-exchange arbitrage detection.
- Included trading fees, deposit and withdrawal fees, transfer delays, and slippage.
- Evaluated executable profitability.
- Produced statistical analyses and interactive visualizations.
- Analyzed cross-market inefficiencies.
Solution
An analytical pipeline and research framework for detecting and evaluating cross-exchange cryptocurrency arbitrage under realistic market frictions.