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30 novembre 2023
- 2311.18717
Mots-clés
Economics - General Economics Computer Science - Cryptography and Security Computer Science - Multiagent Systems Quantitative Finance - Trading and Market Microstructure Statistics - ApplicationsSujets proches
Instruction and study--Methods Informatics Standard of value Statistical data Statistical analysis Statistical methods Statistical science Economic theory Political economy Instruction and study--Methods computing informatisationCiter ce document
Brett Hemenway Falk et al., « Crypto Wash Trading: Direct vs. Indirect Estimation », arXiv - économie
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Résumé
Recent studies using indirect statistical methods estimate that around 70% of traded value on centralized crypto exchanges like Binance, can be characterized as wash trading. This paper turns to NFT markets, where transaction transparency, including analysis of roundtrip trades and common wallet activities, allows for more accurate direct estimation methods to be applied. We find roughly 30% of NFT volume and between 45-95% of traded value, involve wash trading. More importantly, our approach enables a critical evaluation of common indirect estimation methods used in the literature. We find major differences in their effectiveness; some failing entirely. Roundedness filters, like those used in Cong et al. (2023), emerge as the most accurate. In fact, the two approaches can be closely aligned via hyper-parameter optimization if direct data is available.