Date of Award
12-2021
Document Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Economics
Committee Chair/Advisor
Dr. Gerald P. Dwyer
Committee Member
Robert Tamura
Committee Member
Michal M. Jerzmanowski
Committee Member
Aspen Gorry
Abstract
We examine the trades data and order book from 13 exchanges 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. Our 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.
Recommended Citation
Jin, Peiyun, "Arbitrage among Stablecoins" (2021). All Dissertations. 2929.
https://open.clemson.edu/all_dissertations/2929