Arbitrage opportunities and efficiency tests in crypto derivatives
检验了比特币和以太坊期权及永续期货市场的联合效率，发现了套利机会的决定因素，并提出了无法定货币的看跌-看涨平价关系用于跨市场套利检验。
We test the joint efficiency of the bitcoin and ether options and perpetual futures markets and identify the determinants of arbitrage opportunities. Our novel fiat-currency-free put–call parity relationship motivates new arbitrage tests for options-only and option–perpetual cross-markets. Bitcoin and ether derivatives markets are becoming more efficient, especially for options of maturity ≥ 15 days. Bitcoin derivative markets are generally more efficient than ether derivative markets, but arbitrage strategies can still be highly profitable even under conservative transaction cost scenarios, which include slippage for large orders, especially during periods of high trading volumes or when the blockchain traffic becomes more congested.