Design of Cross-Platform Cryptocurrency Futures-Spot Arbitrage Strategies and Risk Optimization Analysis

Jiayi Zhu

doi:10.63313/EPP.9043

Authors

Jiayi Zhu Massey Institute, Nanjing University of Finance & Economics, Nanjing, 210023, China Author

DOI:

https://doi.org/10.63313/EPP.9043

Keywords:

Cryptocurrencies, Cross-Platform Arbitrage, Capital Rate, Quantitative Trading, Hedging, Risk Control

Abstract

This paper focuses on the cross-platform arbitrage of cryptocurrency, clarifies its definition, principle, and application scenarios, sorts out relevant theories and market mechanisms, designs two standardized arbitrage strategies of forward and reverse arbitrage, analyzes potential risks, formulates a complete practical operation process, and conducts income calculation and cost analysis. The research adjusted the traditional arbitrage theory according to the characteristics of the cryptocurrency market, designed an arbitrage mechanism combining basis and capital rate, realized efficient hedging through the static dual-account mode, formulated a perfect practical operation process and risk control rules, and verified the effectiveness and feasibility of the strategy through historical review, which can provide practitioners with a quantitative trading scheme with low risk and stable returns.

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