Anomaly detection in Bitcoin market via price return analysis

PLoS One. 2019 Jun 20;14(6):e0218341. doi: 10.1371/journal.pone.0218341. eCollection 2019.

Abstract

The Bitcoin market becomes the focus of the economic market since its birth, and it has attracted wide attention from both academia and industry. Due to the absence of regulations in the Bitcoin market, it may be easier to bring some kinds of illegal behaviors. Thus, it raises an interesting question: Is there abnormity or illegal behavior in Bitcoin platforms? To answer this question, we investigate the abnormity in five leading Bitcoin platforms. By analyzing the financial index, i.e. the normalized logarithmic price return, we find that the properties of price return in bitFlyer are completely different from others. To find the possible reasons, we find that the abnormal ask price and bid price appear simultaneously in bitFlyer, which may be potentially linked to either price manipulation or money laundering. It verifies our conjecture that there may be abnormity or price manipulation in Bitcoin platforms. Furthermore, our findings in price return could also provide an innovative and effective method to detect the abnormity in Bitcoin platforms.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Commerce
  • Criminal Behavior*
  • Financial Management / economics*
  • Humans
  • Industry / economics*
  • Models, Economic*

Grants and funding

This work was funded by the National Natural Science Foundation of China (http://www.nsfc.gov.cn/) under Grant Numbers 91746301 (Xue-Qi Cheng), 61802370 (Xiao-Qi Sun), 61425016 (Xue-Qi Cheng), and 61433014 (Xue-Qi Cheng). This work was also funded by the K.C. Wong Education Foundation (Hua-Wei Shen) and Open Project Funding of Collaborative Innovation Center for Economics crime investigation and prevention technology, China (JXJZXTCX-010, Xiao-Qian Sun). The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript.