arXiv subjects

Paz Grimberg

Publications and source records attributed to Paz Grimberg.

3 recordsLinked to original sources

arXiv2026

A Truckload of Satoshis: Detecting and Measuring One-Way Arbitrage in the Wild

Centralized cryptocurrency exchanges (CEXes) enable fast off-chain conversions between hundreds of coins. It is an open question which algorithmic trading patterns occur on these platforms. A major challenge to measuring CEXes is that their public trade data does not contain addresses or trader identifiers allowing linkage. We propose a novel methodology to infer one-way arbitrage (OWA) trading in anonymized spot trade data from CEXes. We identify 402 M likely OWA sequences in 5 years of trading on Binance (and almost 2 M during 9 years on Kraken), accounting for 0.94 % and 0.13 % of the total traded volume, respectively. While we estimate total profits of $31.2 M on Binance and $975 k on Kraken, profits from individual OWA sequences are less than $1 on average after accounting for trading fees. We also observe that OWA has become faster over time, while the profitability of individual sequences has decreased. Our findings highlight that pricing discrepancies regularly occur in CEXes, and raise questions for future work to identify the precise circumstances that enable profitable OWA.

cs.CE↗

arXiv2020

Empirical Analysis of Indirect Internal Conversions in Cryptocurrency Exchanges

Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Trading Commission (CFTC) attributed the $2010$ flash crash, one of the most turbulent periods in the history of financial markets that saw the Dow Jones Industrial Average lose $9\%$ of its value within minutes, to automated order "spoofing" algorithms. In this paper, we build a set of methodologies to characterize and empirically measure different algorithmic trading strategies in Binance, a large centralized cryptocurrency exchange, using a complete data set of historical trades. We find that a sub-strategy of triangular arbitrage is widespread, where bots convert between two coins through an intermediary coin, and obtain a favorable exchange rate compared to the direct one. We measure the profitability of this strategy, characterize its risks, and outline two strategies that algorithmic trading bots use to mitigate their losses. We find that this strategy yields an exchange ratio that is $0.144\%$, or $14.4$ basis points (bps) better than the direct exchange ratio. $2.71\%$ of all trades on Binance are attributable to this strategy.

q-fin.TR↗

arXiv2014

Stochastic model of a pension plan

Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions concerning the "average" long-time behavior of the stock market. Our aim here is to examine some of the popular "average" assumptions in a more realistic setting of a stochastic model. Thus, we examine the contention that investment in the stock market is similar to gambling in a casino, while purchasing companies, after due diligence, is safer under the premise that acting as a holding company that wholly owns other companies avoids some of the stock market risks. We show that the stock market index faithfully reflects its companies' profits at the time of their publication. We compare the shifted historical dynamics of the S\&P500's aggregated financial earnings to its value, and find a high degree of correlation. We conclude that there is no benefit to a pension fund in wholly owning a super trust. We verify, by examining historical data, that stock earnings follow an exponential (geometric) Brownian motion and estimate its parameters. The robustness of this model is examined by an estimate of a pensioner's accumulated assets over a saving period. We also estimate the survival probability and mean survival time of the accumulated individual fund with pension consumption over the residual life of the pensioner.

q-fin.RM↗