Direct Evidence of Bitcoin Wash Trading

Published Online:https://doi.org/10.1287/mnsc.2021.01448

References

  • Ajinkya BB, Jain PC (1989) The behavior of daily stock market trading volume. J. Accounting Econom. 11(4):331–359.CrossrefGoogle Scholar
  • Alexander GJ, Peterson MA (2007) An analysis of trade-size clustering and its relation to stealth trading. J. Financial Econom. 84(2):435–471.CrossrefGoogle Scholar
  • Alstott J, Bullmore E, Plenz D (2014) Powerlaw: A Python package for analysis of heavy-tailed distributions. PLoS One 9(1):e85777.CrossrefGoogle Scholar
  • Amiram D, Lyandres E, Rabetti D (2020) Cooking the order books: Information manipulation and competition among crypto exchanges. Working paper, Coller School of Management, Tel Aviv University, Tel Aviv, Israel.Google Scholar
  • Augustin P, Rubtsov A, Shin D (2020) The impact of derivatives on cash markets: Evidence from the introduction of bitcoin futures contracts. Preprint, submitted August 8, https://dx.doi.org/10.2139/ssrn.3648406.Google Scholar
  • Benetton M, Compiani G (2020) Investors’ beliefs and asset prices: A structural model of cryptocurrency demand. Working paper, Haas School of Business, University of California Berkeley, Berkeley, CA.Google Scholar
  • Benford F (1938) The law of anomalous numbers. Langmuir I, ed. Proc. Amer. Philos. Soc., vol. 78(4) (University of Pennsylvania Press, Philadelphia), 551–572.Google Scholar
  • Biais B, Bisiere C, Bouvard M, Casamatta C, Menkveld AJ (2018) Equilibrium bitcoin pricing. Preprint, submitted October 17, https://dx.doi.org/10.2139/ssrn.3261063.Google Scholar
  • Bitwise (2019) Bitwise asset management presentation to the U.S. Securities and Exchange Commission. Accessed March 14, 2020, https://www.sec.gov/comments/sr-nysearca-2019-01/srnysearca201901-5164833-183434.pdf.Google Scholar
  • Chatzigiannis P, Baldimtsi F, Griva I, Li J (2022) Diversification across mining pools: Optimal mining strategies under pow. J. Cybersecurity 8(1):tyab027.CrossrefGoogle Scholar
  • Choi KJ, Lehar A, Stauffer R (2020) Bitcoin microstructure and the kimchi premium. Preprint, submitted June 18, 2018, https://dx.doi.org/10.2139/ssrn.3189051.Google Scholar
  • Clauset A, Shalizi CR, Newman MEJ (2009) Power-law distributions in empirical data. SIAM Rev. 51(4):661–703.CrossrefGoogle Scholar
  • Comerton-Forde C, Putniņš TJ (2011) Measuring closing price manipulation. J. Financial Intermediation 20(2):135–158.CrossrefGoogle Scholar
  • Cong LW, He Z, Li J (2021) Decentralized mining in centralized pools. Rev. Financial Stud. 34(3):1191–1235.CrossrefGoogle Scholar
  • Cong LW, Karolyi GA, Tang K, Zhao W (2022) Value premium, network adoption, and factor pricing of crypto assets. Working paper, Cornell SC Johnson College of Business, Cornell University, Ithaca, NY.Google Scholar
  • Cong LW, Landsman W, Maydew E, Rabetti D (2023a) Tax-loss harvesting with cryptocurrencies. J. Accounting Econom. 76(2–3):101607.CrossrefGoogle Scholar
  • Cong LW, Li X, Tang K, Yang Y (2023b) Crypto wash trading. Management Sci. 69(11):6427–6454.Google Scholar
  • Daian P, Goldfeder S, Kell T, Li Y, Zhao X, Bentov I, Breidenbach L, Juels A (2020) Flash boys 2.0: Frontrunning in decentralized exchanges, miner extractable value, and consensus instability. 2020 IEEE Sympos. Security Privacy (IEEE, Piscataway, NJ), 566–583.Google Scholar
  • Dhawan A, Putniņš TJ (2023) A new wolf in town? Pump-and-dump manipulation in cryptocurrency markets. Rev. Finance 27(3):935–975.CrossrefGoogle Scholar
  • Dyhrberg AH, Foley S, Svec J (2019) When bigger is better: The impact of a tiny tick size on undercutting behavior. Preprint, submitted June 25, 2018, https://dx.doi.org/10.2139/ssrn.3194932.Google Scholar
  • Feder A, Gandal N, Hamrick JT, Moore T (2017) The impact of DDoS and other security shocks on Bitcoin currency exchanges: Evidence from Mt. Gox. J. Cybersecurity 3(2):137–144.CrossrefGoogle Scholar
  • Foley S, Karlsen JR, Putniņš TJ (2019) Sex, drugs, and bitcoin: How much illegal activity is financed through cryptocurrencies? Rev. Financial Stud. 32(5):1798–1853.CrossrefGoogle Scholar
  • Forbes (2022) More than half of all bitcoin trades are fake. Written by: Paz J. Accessed August 26, 2022, https://www.forbes.com/sites/javierpaz/2022/08/26/more-than-half-of-all-bitcoin-trades-are-fake/.Google Scholar
  • Gabaix X, Gopikrishnan P, Plerou V, Eugene Stanley H (2003) A theory of power-law distributions in financial market fluctuations. Nature 423(6937):267–270.CrossrefGoogle Scholar
  • Gandal N, Hamrick JT, Moore T, Oberman T (2018) Price manipulation in the Bitcoin ecosystem. J. Monetary Econom. 95:86–96.CrossrefGoogle Scholar
  • Griffin JM, Shams A (2020) Is Bitcoin really untethered? J. Finance 75(4):1913–1964.CrossrefGoogle Scholar
  • Guo Y, Li J, Luo M, Wang Y (2022) Illiquid bitcoin options. Preprint, submitted July 18, https://dx.doi.org/10.2139/ssrn.4149934.Google Scholar
  • Halaburda H, He Z, Li J (2021) An Economic Model of Consensus on Distributed Ledgers (National Bureau of Economic Research, Cambridge, MA).CrossrefGoogle Scholar
  • Hamrick JT, Rouhi F, Mukherjee A, Feder A, Gandal N, Moore T, Vasek M (2018) The economics of cryptocurrency pump and dump schemes. CEPR Discussion Paper No. DP13404, Washington, DC.Google Scholar
  • Hasbrouck J (1991) Measuring the information content of stock trades. J. Finance 46(1):179–207.CrossrefGoogle Scholar
  • He Z, Li J, Wu Z (2023) Don’t trust, verify: The case of slashing from a popular ethereum explorer. Ding Y, Tang J, Sequeda J, Aroyo L, Castillo C, Houben GJ, eds. Proc. ACM Web Conf. 2023 (Association for Computing Machinery, New York), 1078–1084.Google Scholar
  • Hill BM (1975) A simple general approach to inference about the tail of a distribution. Ann. Statist. 3(5):1163–1174.CrossrefGoogle Scholar
  • James NA, Matteson DS (2015) ecp: An R package for nonparametric multiple change point analysis of multivariate data. J. Statist. Software 62(7):1–25.Google Scholar
  • James NA, Kejariwal A, Matteson DS (2016) Leveraging cloud data to mitigate user experience from “Breaking Bad.” 2016 IEEE Internat. Conf. Big Data (IEEE, Piscataway, NJ), 3499–3508.Google Scholar
  • Kuo W-Y, Lin T-C, Zhao J (2015) Cognitive limitation and investment performance: Evidence from limit order clustering. Rev. Financial Stud. 28(3):838–875.CrossrefGoogle Scholar
  • Li J (2021) DeFi as an information aggregator. Bernhard M, Bracciali A, Gudgeon L, Haines T, Klages-Mundt A, Matsuo S, Perez D, Sala M, Werner S, eds. Financial Cryptography and Data Security. FC 2021 International Workshops. FC 2021, Lecture Notes in Computer Science, vol. 12676 (Springer, Berlin, Heidelberg).Google Scholar
  • Li J (2023) On the security of optimistic blockchain mechanisms. Preprint, submitted July 4, https://dx.doi.org/10.2139/ssrn.4499357.Google Scholar
  • Li J, Mann W (2018) Digital tokens and platform building. Working paper, Costello College of Business, George Mason University, Fairfax, VA.Google Scholar
  • Li J, Mann W (2021) Initial coin offerings: Current research and future directions. Rau R, Wardrop R, Zingales L, eds. The Palgrave Handbook of Technological Finance (Springer, Berlin, Heidelberg), 369–393.Google Scholar
  • Li J, Wu Z (2023) Arbitrary message passing across blockchains. Preprint, submitted April 28, https://dx.doi.org/10.2139/ssrn.4417670.Google Scholar
  • Li J, Yi G (2019) Toward a factor structure in crypto asset returns. J. Alternative Investments 21(4):56–66.CrossrefGoogle Scholar
  • Li T, Shin D, Wang B (2019) Cryptocurrency pump-and-dump schemes. Preprint, submitted October 23, 2018, https://dx.doi.org/10.2139/ssrn.3267041.Google Scholar
  • Li J, Baldimtsi F, Brandao JP, Kugler M, Hulays R, Showers E, Ali Z, Chang J (2021) Measuring illicit activity in DeFi: The case of Ethereum. Bernhard M, et al., eds. Financial Cryptography and Data Security. FC 2021 International Workshops. FC 2021, Lecture Notes in Computer Science, vol. 12676 (Springer, Berlin, Heidelberg), 197–203.Google Scholar
  • Liu Y, Tsyvinski A (2021) Risks and returns of cryptocurrency. Rev. Financial Stud. 34(6):2689–2727.CrossrefGoogle Scholar
  • Liu Y, Tsyvinski A, Wu X (2022) Common risk factors in cryptocurrency. J. Finance 77(2):1133–1177.CrossrefGoogle Scholar
  • Makarov I, Schoar A (2020) Trading and arbitrage in cryptocurrency markets. J. Financial Econom. 135(2):293–319.CrossrefGoogle Scholar
  • Nilsson K (2014) The Willy report. Accessed March 14, 2020, https://willyreport.wordpress.com/2014/05/25/the-willy-report-proof-of-massive-fraudulent-trading-activity-at-mt-gox-and-how-it-has-affected-the-price-of-bitcoin/.Google Scholar
  • Petryk M, Li J (2023) (Data) mining the ethereum open-source development community. Preprint, submitted December 8, https://dx.doi.org/10.2139/ssrn.4652260.Google Scholar
  • Ribes S (2018) Chasing fake volume: A crypto-plague. https://medium.com/@sylvainartplayribes/chasing-fake-volume-a-crypto-plague-ea1a3c1e0b5e.Google Scholar
  • Richardson G, Sefcik SE, Thompson R (1986) A test of dividend irrelevance using volume reactions to a change in dividend policy. J. Financial Econom. 17(2):313–333.CrossrefGoogle Scholar
  • Rosch E (1975) Cognitive reference points. Cognitive Psych. 7(4):532–547.CrossrefGoogle Scholar
  • Roy L (2018) Mt Gox hack explained: Full history & information guide. https://totalcrypto.io/mt-gox/.Google Scholar
  • Schwenkler G, Zheng H (2021) Peer co-movement in crypto markets. Working paper, Leavey School of Business, Santa Clara University, Santa Clara, CA.Google Scholar
  • Shams A (2020) The structure of cryptocurrency returns. Working paper, Fisher College of Business, Ohio State University, Columbus, OH.Google Scholar
  • Tibeaudou M (2019) Problems with the Bitwise fake volume report. https://hedgetrade.com/bitwise-exchange-report-raises-questions/.Google Scholar
  • Underwood BD (2018) Virtual market integrity initiative report. Office of the New York State Attorney General, Albany.Google Scholar
  • Victor F, Weintraud AM (2021) Detecting and quantifying wash trading on decentralized cryptocurrency exchanges. Leskovec J, Grobelnik M, Najork M, Tang J, Zia L, eds. Proc. Web Conf. 2021 (Association for Computing Machinery, New York), 23–32.Google Scholar
  • Vigna P, Osipovic A (2018) Bots are manipulating price of bitcoin in wild west of crypto. The Wall Street Journal (October 2).Google Scholar
  • Xu J, Livshits B (2019) The anatomy of a cryptocurrency pump-and-dump scheme. Heninger N, Traynor P, eds. Proc. 28th USENIX Conf. Security Sympos. (USENIX Association, Santa Clara, CA), 1609–1625.Google Scholar
  • Yu YG, Zhang J (2020) Flight to Bitcoin. Working paper, Lee Kong Chian School of Business, Singapore Management University, Singapore.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.