Topic: Arbitrage vs Liquidity (Read 888 times)
If you check the Economics/Speculation section, there will be many people who can explain arbitrage/liquidity to you. It would be hard to do arbitrage on exchanges with low liquidity.
Clearly arbitrage is very much available in BTC world. There are venue spread arbs, as well as triangle arbs. Liquidity may be good in a given venue, but that doesn't seem sufficient to eliminate the arbs as long as there are a sufficient number of under-informed market participants, which probably requires inter-market liquidity to be good as well.
Gosh, what are the dimensions of liquidity? I think depth of book, width of spread, spread volatilty, depth volatility, and the nth differences of mid are all informative of liquidity conditions. Anything else? Is there a standard textbook on liquidity issues in arbitrage?
Gosh, what are the dimensions of liquidity? I think depth of book, width of spread, spread volatilty, depth volatility, and the nth differences of mid are all informative of liquidity conditions. Anything else? Is there a standard textbook on liquidity issues in arbitrage?
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