Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets

Qi Deng and Zhong-guo Zhou

Papers from arXiv.org

Abstract: We propose that the liquidity of an asset includes two components: liquidity jump and liquidity diffusion. We show that liquidity diffusion has a higher correlation with crypto wash trading than liquidity jump and demonstrate that treatment on wash trading significantly reduces the level of liquidity diffusion, but only marginally reduces that of liquidity jump. We confirm that the autoregressive models are highly effective in modeling the liquidity-adjusted return with and without the treatment on wash trading. We argue that treatment on wash trading is unnecessary in modeling established crypto assets that trade in unregulated but mainstream exchanges.

Date: 2024-03, Revised 2024-05
New Economics Papers: this item is included in nep-mst and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2404.07222 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2404.07222

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().