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Quantitative Finance · Begrippenlijst

Wat is Wash trading?

Definition 16.7 Markets III: Commodities, Energy and Crypto · Hoofdstuk 16 — Spot Markets

Wash trading is trading in which the same beneficial owner, or parties acting in concert, are on both sides, so that no risk changes hands; it inflates reported volume and can mislead others about a market’s activity and price.

First significant digits of 20 000 trade sizes: a synthetic genuine tape follows Benford’s law (chi-square 1.4 against a 5% critical value of 15.5); a tape in which 70% of trades are machine-generated with sizes uniform between 0.0010 and 0.0500 bitcoin does not. Synthetic tapes. Data: the chapter’s tutorial.
Figure 16.3. First significant digits of 20 000 trade sizes: a synthetic genuine tape follows Benford’s law (chi-square 1.4 against a 5% critical value of 15.5); a tape in which 70% of trades are machine-generated with sizes uniform between 0.0010 and 0.0500 bitcoin does not. Synthetic tapes. Data: the chapter’s tutorial.
Trade sizes up to 0.05 bitcoin: genuine trading clusters at round sizes (the bins starting at 0.01, 0.02, 0.03 and 0.04 bitcoin); machine-generated volume dilutes the clusters. Synthetic tapes. Data: the chapter’s tutorial.
Figure 16.4. Trade sizes up to 0.05 bitcoin: genuine trading clusters at round sizes (the bins starting at 0.01, 0.02, 0.03 and 0.04 bitcoin); machine-generated volume dilutes the clusters. Synthetic tapes. Data: the chapter’s tutorial.
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