Publication Date

Fall 2018

Degree Type

Master's Project

Degree Name

Master of Science (MS)

Department

Computer Science

First Advisor

Thomas Austin

Second Advisor

Mark Stamp

Third Advisor

Jon Pearce

Keywords

crypto-currency, arbitrage

Abstract

Cryptocurrencies are defined as a digital currency in which encryption techniques are utilized to regulate generation of units of currency and verify the transfer of funds, independent of a central governing body such as a bank. Due to the large number of cryptocurrencies currently available, there inherently exists many price discrepancies due to market inefficiencies. Market inefficiencies occur when the price of assets do not reflect their true value. In fact, these types of pricing discrepancies exist in other financial markets, including fiat currency exchanges and stock exchanges. However, these discrepancies are more significant in the cryptocurrency domain due to the low levels of government regulation, higher amounts of speculation, and human behaviors driven by investors seeking profit. These types of pricing discrepancies can be eliminated to some extent by executing arbitrages, which are defined as a sequences of trades beginning and ending with the same asset which result in more of that asset at the end of the trading sequence. Through executing arbitrages, the market should become more efficient.

This project was an attempt to execute intra-exchange arbitrage on the well- known cryptocurrency exchange Binance and generate profit, and as a side effect make the cryptocurrency exchange market more fluid. Although the project did not record phenomenal profits, it did successfully generate several hundred dollars over the course of several months, independent of market fluctuations.

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