Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform
通过分析Mt. Gox交易所泄露的交易历史，识别出440名套利者，发现专家用户通过快速反应汇率变动获得更高利润，且少数专家完成了大部分套利行为。
We mine the leaked history of trades on Mt. Gox, the dominant Bitcoin exchange from 2011 to early 2014, in order to detect the triangular arbitrage conducted on the platform. To this end, we exploit user identifiers per trade to identify and describe the individual trading patterns of 440 arbitrageurs. Moreover, we introduce proxies for expertise and document that the expert users' distribution of profits first-order stochastically dominates that of non-expert users. Most importantly, by including user fixed effects, we show that expert users make profits on arbitrage by reacting quickly to plausible exogenous variations on the official exchange rates. A small number of expert arbitrageurs are able to conduct the vast majority of the arbitrage actions and systematically yield higher profits: our results provide empirical evidence that arbitrageurs are few and sophisticated users, characterized by the ability to incorporate information and to quickly react to exogenous shocks within short time scale intervals.