A Comparative Analysis of Statistical and Machine Learning Models for Outlier Detection in Bitcoin Limit Order Books
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866916852633960448 |
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| author | Letteri, Ivan |
| author_facet | Letteri, Ivan |
| contents | The detection of outliers within cryptocurrency limit order books (LOBs) is of paramount importance for comprehending market dynamics, particularly in highly volatile and nascent regulatory environments. This study conducts a comprehensive comparative analysis of robust statistical methods and advanced machine learning techniques for real-time anomaly identification in cryptocurrency LOBs. Within a unified testing environment, named AITA Order Book Signal (AITA-OBS), we evaluate the efficacy of thirteen diverse models to identify which approaches are most suitable for detecting potentially manipulative trading behaviours. An empirical evaluation, conducted via backtesting on a dataset of 26,204 records from a major exchange, demonstrates that the top-performing model, Empirical Covariance (EC), achieves a 6.70% gain, significantly outperforming a standard Buy-and-Hold benchmark. These findings underscore the effectiveness of outlier-driven strategies and provide insights into the trade-offs between model complexity, trade frequency, and performance. This study contributes to the growing corpus of research on cryptocurrency market microstructure by furnishing a rigorous benchmark of anomaly detection models and highlighting their potential for augmenting algorithmic trading and risk management. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_14960 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A Comparative Analysis of Statistical and Machine Learning Models for Outlier Detection in Bitcoin Limit Order Books Letteri, Ivan Trading and Market Microstructure Artificial Intelligence Machine Learning Statistics Theory The detection of outliers within cryptocurrency limit order books (LOBs) is of paramount importance for comprehending market dynamics, particularly in highly volatile and nascent regulatory environments. This study conducts a comprehensive comparative analysis of robust statistical methods and advanced machine learning techniques for real-time anomaly identification in cryptocurrency LOBs. Within a unified testing environment, named AITA Order Book Signal (AITA-OBS), we evaluate the efficacy of thirteen diverse models to identify which approaches are most suitable for detecting potentially manipulative trading behaviours. An empirical evaluation, conducted via backtesting on a dataset of 26,204 records from a major exchange, demonstrates that the top-performing model, Empirical Covariance (EC), achieves a 6.70% gain, significantly outperforming a standard Buy-and-Hold benchmark. These findings underscore the effectiveness of outlier-driven strategies and provide insights into the trade-offs between model complexity, trade frequency, and performance. This study contributes to the growing corpus of research on cryptocurrency market microstructure by furnishing a rigorous benchmark of anomaly detection models and highlighting their potential for augmenting algorithmic trading and risk management. |
| title | A Comparative Analysis of Statistical and Machine Learning Models for Outlier Detection in Bitcoin Limit Order Books |
| topic | Trading and Market Microstructure Artificial Intelligence Machine Learning Statistics Theory |
| url | https://arxiv.org/abs/2507.14960 |