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Economics > General Economics

arXiv:2108.10984 (econ)
[Submitted on 24 Aug 2021]

Title:Crypto Wash Trading

Authors:Lin William Cong, Xi Li, Ke Tang, Yang Yang
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    Abstract: We introduce systematic tests exploiting robust
    statistical and behavioral patterns in trading to detect fake
    transactions on 29 cryptocurrency exchanges. Regulated exchanges
    feature patterns consistently observed in financial markets and
    nature; abnormal first-significant-digit distributions, size
    rounding, and transaction tail distributions on unregulated
    exchanges reveal rampant manipulations unlikely driven by
    strategy or exchange heterogeneity. We quantify the wash trading
    on each unregulated exchange, which averaged over 70% of the
    reported volume. We further document how these fabricated volumes
    (trillions of dollars annually) improve exchange ranking,
    temporarily distort prices, and relate to exchange
    characteristics (e.g., age and userbase), market conditions, and
    regulation.

Subjects: General Economics (econ.GN)
DOI:      10.2139/ssrn.3530220
Cite as:  arXiv:2108.10984 [econ.GN]
          (or arXiv:2108.10984v1 [econ.GN] for this version)

Submission history

From: Will Cong [view email]
[v1] Tue, 24 Aug 2021 22:48:28 UTC (2,684 KB)
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