analysis available online: holtzy.github.io/Crypto-Arbitrage/
Arbitrage is defined as the simultaneous buying and selling of currency in different platforms in order to take advantage of differing prices. This document gives a few insight on its potential application on crypto currencies.
Analysis are made using the R software and published using R Markdown. You can see it here
The study is split in sections:
- Recovering prices - I recovered prices of 5 crypto currencies on 5 exchanges for several weeks. About a million points were harvested. Script and output data frame are available. Read more
- Comparing prices - A comparison of prices on the long and on the short term. Is there any differences between exchanges? Read more
- What is arbitrage - A quick introduction to arbitrage: what it is and what are the potential limitations. Read more
- Simulation - Simulating an arbitrage algorithm on the dataset to assess potential benefit and optimize parameters. Read more
- Private APIs and command line - How to buy and sell crypto currencies using programing and private APIs? Read more
- Recovering prices - The algorithm is finally run for real. Does it make any money? Read more
Use data and code of this repo at your own risk. You are responsible for your own money. Past performance is not necessarily indicative of future results. The author assume no responsability for your trading result.