Crypto Wash Trading
提出首个系统检测加密货币交易所虚假交易的方法，发现未受监管交易所的洗售交易平均占报告交易量的70%以上，并揭示其对排名、价格的影响及监管意义。
We present the first systematic approach to detect fake transactions on cryptocurrency exchanges by exploiting robust statistical and behavioral regularities associated with authentic trading. Our sample consists of 29 centralized exchanges, among which the regulated ones feature transaction patterns consistently observed in financial markets and nature. In contrast, unregulated exchanges display abnormal first significant digit distributions, size rounding, and transaction tail distributions, indicating widespread manipulation unlikely driven by a specific trading strategy or exchange heterogeneity. We then quantify the wash trading on each unregulated exchange, which averaged more than 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 user base), market conditions, and regulation. Overall, our study cautions against potential market manipulations on centralized crypto exchanges with concentrated power and limited disclosure requirements and highlights the importance of fintech regulation. This paper was accepted by David Simchi-Levi, Special Section of Management Science: Blockchains and Crypto Economics. Funding: This research was partly funded by the Ewing Marion Kauffman Foundation [Grant G-201907-6995], the National Natural Science Foundation of China [Grants 72192802, 72192800, and 72192801], Ripple’s University Blockchain Research Initiative (UBRI), and the FinTech at Cornell Initiative. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2021.02709 .