buy low 

sell high

buy BTC

sell BTC

move BTC to Kraken

Wire: free*; 1-5 days

Credit card: 3.5%

trading fee: 10-25 bps

flat fee in BTC $\approx$ $4-8

$\approx$ 10-60 minutes

trading fee: 0-26 bps

35 USD + 0.125%

($5 if >$50,000)

1-3 business days;

possible other fees/delays

The impact of the different "legs"/costs in the process?

$\Rightarrow$ Compare arbitrage opportunities across "assets"? E.g., with different confirmation times?

Kraken's estimated deposit processing times:

BTC: 60 minutes

ETH: 6 minutes

XRP: near-instant

Also: exchanges are heterogeneous w.r.t. confirmation times, too (10-60 minutes for BTC?)

$\Rightarrow$ Can this be exploited to better understand the role of delayed confirmation vs. other frictions?

Some exchanges allow short-selling (e.g., Kraken)

$\Rightarrow$ Can buy and (short-)sell simultaneously 

FEES and TIME

$\Rightarrow$ Compare arbitrage opportunities in crypto-to-fiat vs. crypto-to-crypto?

Faster and cheaper to deposit/withdraw cryptocurrencies (relative to fiat)

Able to hedge (some of) the risks of storing funds in crypto (instead of USD) after the CBOE BTC futures (Dec 2017?)

$\Rightarrow$ Easier/cheaper arbitrage? (E.g., cheaper to "store" BTC on "sell-exchanges"?)

Paper: limits to arbitrage because of risk-aversion.

Footnote 11: "can also think of [...] risk-neutral and capital-constrained" 

Unlimited arbitrage capital $\Rightarrow$ hold deposits at all exchanges & resolve both in/out and cross-exchange delays

To what extent are these approaches equivalent?

Higher demand for BTC $\Rightarrow$ more transactions to be confirmed

$\Rightarrow$ Latency and volatility are correlated (?)

$\Rightarrow$ Implications? (Estimated bounds too conservative?)