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本期主题
Arbitrage and Liquidity Contagion in Cryptocurrency Markets
时 间：2026年3月16日（Mon.）
14:00 - 15:00 p.m.
地 点：同德楼111
主 讲：Kumushoy Abduraimova (DUBS)
论文摘要
Prices of cryptocurrencies can differ across various trading venues, and those differences can persist over extended periods of time. Arbitrageurs aim to take advantage of the price differences (spreads) and, by doing so, can affect the market liquidity on those venues. Understanding the dynamics of cross-market liquidity is very important for the market participants, as the trading of cryptocurrencies is highly fragmented. Network approaches are applied to study the propagation of liquidity shocks in relation to the changes in spreads on different venues. Specifically, high-frequency network snapshots of spreads and liquidity contagion metrics are constructed for bitcoin prices on over 20 largest exchanges. The findings indicate a significant relationship between spreads and liquidity across the network. Moreover, it is found that the network centrality is related to the price discovery of a particular trading venue as measured by its information share.
主讲简介
Dr. Kumushoy Abduraimova is an Assistant Professor of Finance at Durham University Business School. She received her PhD from Imperial College London. Her research focuses on financial contagion, systemic risk, network structures in financial markets, and tail risk. Her work has been published in the Journal of Banking & Finance.
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