Price manipulation in the Bitcoin ecosystem

Gandal, Neil; Hamrick, JT; Moore, Tyler; Oberman, Tali

doi:10.1016/j.jmoneco.2017.12.004

Cited by 615 publications

(324 citation statements)

References 7 publications

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“…Kroeger and Sarkar (), for example, show the law of one price is often violated for Bitcoin, and relate this to the microstructure of Bitcoin trading. In a similar vein, Gandal, Hamrick, Moor, and Oberman () exhibit price manipulation in the Bitcoin market, likely by a single trader. We take the prices (and hence the return patterns) of alternative cryptocurrencies (altcoins) as given, and document a number of stylized facts.…”

Section: Introductionmentioning

confidence: 89%

Cryptocurrencies: Stylized facts on a new investible instrument

Parlour

Rajan

2019

Financial Management

128

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We present stylized facts on the asset pricing properties of cryptocurrencies: summary statistics on cryptocurrency return properties and measures of common variation for secondary market returns on 222 digital coins. In our sample, secondary market returns of all other currencies are strongly correlated with Bitcoin returns. We also provide some investment characteristics of a sample of 64 initial coin offerings.

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Section: Introductionmentioning

confidence: 89%

Cryptocurrencies: Stylized facts on a new investible instrument

Parlour

Rajan

2019

Financial Management

128

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“…[data set]Bitcoincharts (2019) has been widely used in previous studies; see, for example,Eross, McGroarty, Urquhart, and Wolfe (2019) andGandal, Hamrick, Moore, and Oberman (2018). We verify the data integrity by comparing the aggregated daily trade volume to that available from another online source, Bitcoinity (2019).…”

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confidence: 99%

BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness

Alexander

Choi

Park

et al. 2019

Journal of Futures Markets

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BitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for leverage trading and hedging. Using minute‐by‐minute data, we examine its price discovery and hedging effectiveness. We find that BitMEX derivatives lead prices on major bitcoin spot exchanges. Bid–ask spreads, interexchange spreads, and relative trading volumes are important determinants of price discovery. Further analysis shows that BitMEX derivatives have positive net spillover effects, are informationally more efficient than bitcoin spot prices, and serve as effective hedges against spot price volatility. Our evidence suggests that regulators prioritize the investigation of the legitimacy of BitMEX and its contracts.

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“…Data Cleaning. As there are many duplicate entries in the leaked data, we adopt a similar way for data cleaning as the previous studies [3], [8]. Specifically, we use the combination of the four key fields: date, user ID, type, and Bitcoins to remove duplicated entries (de-duplication strategy 2 in [3]).…”

Section: Data Setmentioning

confidence: 99%

“…The answer to this question will help investors recognize the potential risks and help to regulate legislation. Based on the leaked data, a recent paper [8] points out that the Mt. Gox exchange manipulated the Bitcoin price by building a regression model to identify the influence of the activities of some suspicious accounts on the price.…”

Section: Introductionmentioning

confidence: 99%

Market Manipulation of Bitcoin: Evidence from Mining the Mt. Gox Transaction Network

Chen

Zheng

et al. 2019

IEEE INFOCOM 2019 - IEEE Conference on Computer Communications

108

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The cryptocurrency market is a very huge market without effective supervision. It is of great importance for investors and regulators to recognize whether there are market manipulation and its manipulation patterns. This paper proposes an approach to mine the transaction networks of exchanges for answering this question. By taking the leaked transaction history of Mt. Gox Bitcoin exchange as a sample, we first divide the accounts into three categories according to its characteristic and then construct the transaction history into three graphs. Many observations and findings are obtained via analyzing the constructed graphs. To evaluate the influence of the accounts' transaction behavior on the Bitcoin exchange price, the graphs are reconstructed into series and reshaped as matrices. By using singular value decomposition (SVD) on the matrices, we identify many base networks which have a great correlation with the price fluctuation. When further analyzing the most important accounts in the base networks, plenty of market manipulation patterns are found. According to these findings, we conclude that there was serious market manipulation in Mt. Gox exchange and the cryptocurrency market must strengthen the supervision.

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Price manipulation in the Bitcoin ecosystem

Cited by 615 publications

References 7 publications

Cryptocurrencies: Stylized facts on a new investible instrument

Cryptocurrencies: Stylized facts on a new investible instrument

BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness

Market Manipulation of Bitcoin: Evidence from Mining the Mt. Gox Transaction Network

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