Anomaly detection in Bitcoin market via price return analysis

doi:10.1371/journal.pone.0218341

	Anomaly detection in Bitcoin market via price return analysis
	Shi, Fa-Bin 1,2; Sun, Xiao-Qian 1; Gao, Jin-Hua 1; Xu, Li 1; Shen, Hua-Wei 1,2; Cheng, Xue-Qi 1,2
	2019-06-20
发表期刊	PLOS ONE
ISSN	1932-6203
卷号	14 期号:6 页码:11
摘要	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.
DOI	10.1371/journal.pone.0218341
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[91746301] ; National Natural Science Foundation of China[61802370] ; National Natural Science Foundation of China[61425016] ; National Natural Science Foundation of China[61433014] ; K. C. Wong Education Foundation ; Open Project Funding of Collaborative Innovation Center for Economics crime investigation and prevention technology, China[JXJZXTCX-010]
WOS研究方向	Science & Technology - Other Topics
WOS类目	Multidisciplinary Sciences
WOS记录号	WOS:000484893500038
出版者	PUBLIC LIBRARY SCIENCE
引用统计	被引频次：5[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://119.78.100.204/handle/2XEOYT63/4690
专题	中国科学院计算技术研究所期刊论文_英文
通讯作者	Sun, Xiao-Qian
作者单位	1.Chinese Acad Sci, Inst Comp Technol, CAS Key Lab Network Data Sci & Technol, Beijing, Peoples R China 2.Univ Chinese Acad Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Shi, Fa-Bin,Sun, Xiao-Qian,Gao, Jin-Hua,et al. Anomaly detection in Bitcoin market via price return analysis[J]. PLOS ONE,2019,14(6):11.
APA	Shi, Fa-Bin,Sun, Xiao-Qian,Gao, Jin-Hua,Xu, Li,Shen, Hua-Wei,&Cheng, Xue-Qi.(2019).Anomaly detection in Bitcoin market via price return analysis.PLOS ONE,14(6),11.
MLA	Shi, Fa-Bin,et al."Anomaly detection in Bitcoin market via price return analysis".PLOS ONE 14.6(2019):11.