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Anomaly detection in Bitcoin market via price return analysis

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  • Fa-Bin Shi
  • Xiao-Qian Sun
  • Jin-Hua Gao
  • Li Xu
  • Hua-Wei Shen
  • Xue-Qi Cheng

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.

Suggested Citation

  • Fa-Bin Shi & Xiao-Qian Sun & Jin-Hua Gao & Li Xu & Hua-Wei Shen & Xue-Qi Cheng, 2019. "Anomaly detection in Bitcoin market via price return analysis," PLOS ONE, Public Library of Science, vol. 14(6), pages 1-11, June.
    • Handle: RePEc:plo:pone00:0218341
    DOI: 10.1371/journal.pone.0218341
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    2. Marcus Smith & Milind Tiwari, 2023. "The implications of national blockchain infrastructure for financial crime," Journal of Financial Crime, Emerald Group Publishing Limited, vol. 31(2), pages 236-248, June.

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