Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
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arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866914792868937728 |
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| author | Deng, Qi Zhou, Zhong-guo |
| author_facet | Deng, Qi Zhou, Zhong-guo |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_07222 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets Deng, Qi Zhou, Zhong-guo Statistical Finance Econometrics General Finance 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. |
| title | Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets |
| topic | Statistical Finance Econometrics General Finance |
| url | https://arxiv.org/abs/2404.07222 |