We investigate potential sources of emerging statistical arbitrage opportunities in the Bitcoin market across five exchanges – Binance, Bitfinex, Bitstamp, Coinbase, and Kraken – via the instrumental variables approach to control for apparent endogeneity. We show that arbitrage opportunities arise when the network is congested and Bitcoin prices are volatile. Increased exchanges volume and on-chain activity increase the correlation between exchanges and thus reduce the arbitrage opportunities. These outcomes are intuitive and economically valid which supports the notion that Bitcoin market is highly volatile and risky but its behavior follows standard economic and financial intuition.

我们通过工具变量方法控制明显的内生性，调查五个交易所（Binance、Bitfinex、Bitstamp、Coinbase 和 Kraken）中比特币市场新兴统计套利机会的潜在来源。我们表明，当网络拥塞且比特币价格波动时，套利机会就会出现。交易量的增加和链上活动的增加增加了交易所之间的相关性，从而减少了套利机会。这些结果是直观且经济有效的，这支持了比特币市场高度波动和风险的概念，但其行为遵循标准的经济和金融直觉。