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<p>This paper asks whether fiat and stablecoin quote routes are equally well integrated when the same underlying asset trades inside one exchange against multiple quote currencies. Using Kraken spot trades from January&#xa0;2021 through March&#xa0;2025, we construct direct-minus-synthetic triangle dislocations for BTC and ETH quoted in USD, EUR, and USDT. Stablecoin-linked triangles display persistently wider dislocations than the pure-fiat benchmark: the standard deviation of the stablecoin-linked dislocation is, in a typical month, 1.48 times that of the fiat triangle for BTC and 1.84 times for ETH. Parity restoration runs mainly through XBTUSDT and ETHUSDT rather than through USDTUSD or USDTEUR across 1, 5, 10, and 30 s horizons. This correction hierarchy survives trade-activity controls, lagged realized-volatility controls, a re-ranking of leg-level responses normalized by each leg’s own return volatility, direct staleness checks, correction regressions re-estimated on 10- and 30-s grids, and lagged error-correction estimates in every monthly window. These results indicate within-exchange quote-currency segmentation, described here as a microstructure pattern rather than a claim about executable arbitrage.</p>

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Fiat versus stablecoin price integration on Kraken: triangle dislocations and correction hierarchy in BTC and ETH spot markets

  • 期刊论文

  • 发表日期：

    2026年7月6日

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  • Frederick H. Willeboordse

摘要

This paper asks whether fiat and stablecoin quote routes are equally well integrated when the same underlying asset trades inside one exchange against multiple quote currencies. Using Kraken spot trades from January 2021 through March 2025, we construct direct-minus-synthetic triangle dislocations for BTC and ETH quoted in USD, EUR, and USDT. Stablecoin-linked triangles display persistently wider dislocations than the pure-fiat benchmark: the standard deviation of the stablecoin-linked dislocation is, in a typical month, 1.48 times that of the fiat triangle for BTC and 1.84 times for ETH. Parity restoration runs mainly through XBTUSDT and ETHUSDT rather than through USDTUSD or USDTEUR across 1, 5, 10, and 30 s horizons. This correction hierarchy survives trade-activity controls, lagged realized-volatility controls, a re-ranking of leg-level responses normalized by each leg’s own return volatility, direct staleness checks, correction regressions re-estimated on 10- and 30-s grids, and lagged error-correction estimates in every monthly window. These results indicate within-exchange quote-currency segmentation, described here as a microstructure pattern rather than a claim about executable arbitrage.