Microstructure and Manipulation: Quantifying Pump-and-Dump Dynamics in Cryptocurrency Markets
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866909588503134208 |
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| author | Karbalaii, Mahya |
| author_facet | Karbalaii, Mahya |
| contents | Building on our prior threshold-based analysis of six months of Poloniex trading data, we have extended both the temporal span and granularity of our study by incorporating minute-level OHLCV records for 1021 tokens around each confirmed pump-and-dump event. First, we algorithmically identify the accumulation phase, marking the initial and final insider volume spikes, and observe that 70% of pre-event volume transacts within one hour of the pump announcement. Second, we compute conservative lower bounds on insider profits under both a single-point liquidation at 70% of peak and a tranche-based strategy (selling 20% at 50%, 30% at 60%, and 50% at 80% of peak), yielding median returns above 100% and upper-quartile returns exceeding 2000%. Third, by unfolding the full pump structure and integrating social-media verification (e.g., Telegram announcements), we confirm numerous additional events that eluded our initial model. We also categorize schemes into "pre-accumulation" versus "on-the-spot" archetypes-insights that sharpen detection algorithms, inform risk assessments, and underpin actionable strategies for real-time market-integrity enforcement. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2504_15790 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Microstructure and Manipulation: Quantifying Pump-and-Dump Dynamics in Cryptocurrency Markets Karbalaii, Mahya Trading and Market Microstructure Building on our prior threshold-based analysis of six months of Poloniex trading data, we have extended both the temporal span and granularity of our study by incorporating minute-level OHLCV records for 1021 tokens around each confirmed pump-and-dump event. First, we algorithmically identify the accumulation phase, marking the initial and final insider volume spikes, and observe that 70% of pre-event volume transacts within one hour of the pump announcement. Second, we compute conservative lower bounds on insider profits under both a single-point liquidation at 70% of peak and a tranche-based strategy (selling 20% at 50%, 30% at 60%, and 50% at 80% of peak), yielding median returns above 100% and upper-quartile returns exceeding 2000%. Third, by unfolding the full pump structure and integrating social-media verification (e.g., Telegram announcements), we confirm numerous additional events that eluded our initial model. We also categorize schemes into "pre-accumulation" versus "on-the-spot" archetypes-insights that sharpen detection algorithms, inform risk assessments, and underpin actionable strategies for real-time market-integrity enforcement. |
| title | Microstructure and Manipulation: Quantifying Pump-and-Dump Dynamics in Cryptocurrency Markets |
| topic | Trading and Market Microstructure |
| url | https://arxiv.org/abs/2504.15790 |