Does Short-and-Distort Scheme Really Exist? A Bitcoin Futures Audit Scheme through BIRCH & BPNN Approach

Dun Li (), Dezhi Han, Zibin Zheng (), Tien-Hsiung Weng, Kuan-Ching Li (), Ming Li and Shaokang Cai
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Dun Li: Shanghai Maritime University
Dezhi Han: Shanghai Maritime University
Zibin Zheng: Sun Yat-sen University
Tien-Hsiung Weng: Providence University
Kuan-Ching Li: Providence University
Ming Li: Shanghai Maritime University
Shaokang Cai: Shanghai Maritime University

Computational Economics, 2024, vol. 63, issue 4, No 14, 1649-1671

Abstract: Abstract Short and Distort (S &D) is a price manipulation scheme in the futures trading market. In recent years, S &D has become increasingly rampant due to the emergence of Bitcoin futures. While existing research has just begun to notice this phenomenon, this article presents the first detailed empirical study, where we examine the information available on S &D, synthesize it with cryptocurrencies, then propose a problematic definition and discriminatory criteria for S &D in Bitcoin futures. Besides, we provide a typical S &D case study, where we build a model to implement real-time detection of S &D in perpetual and term contracts, exhibiting higher accuracy and robustness compared to other related studies. Results show significant S &D manipulation in both perpetual and term contracts that the proposed model can effectively detect. Furthermore, the Binance exchange is relatively secure among selected exchanges, and the Bittrex exchange is the most likely to suffer from S &D.

Keywords: Bitcoin; Short-and-distort; BIRCH; BPNN (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10614-023-10378-3

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