Hongzhe Wen

Cross-numeraire relative pricing of ethereum: data authority, market frictions, and static arbitrage bounds

Abstract Using Gate.io hourly spot-order-book archives from January 2022 through June 2023, this paper reconstructs a long-horizon five-second panel for comparing the direct Ether/Tether (ETH/USDT) quote with the synthetic Ether/Bitcoin (ETH/BTC) $$\times $$ Bitcoin/Tether (BTC/U...