Before revision:  We theoretically derive arbitrage bounds that increase with expected latency, latency uncertainty, volatility and risk aversion . Using Bitcoin orderbook and network data, we estimate  arbitrage bounds of on average 121 basis points, explaining 91\% of the observed cross-market price differences . Consistent with our theory, periods of high latency-implied price risk exhibit large price differences, while asset flows chase arbitrage opportunities.
After revision:  We theoretically derive arbitrage bounds that increase with expected latency, latency uncertainty, volatility and risk aversion . Using Bitcoin orderbook and network data, we estimate arbitrage bounds of on average 121 basis points, explaining 91\% of the cross-market price differences . Consistent with our theory, periods of high latency-implied price risk exhibit large price differences, while asset flows chase arbitrage opportunities.