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Does Short-and-Distort Scheme Really Exist? A Bitcoin Futures Audit Scheme through BIRCH & BPNN Approach

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Abstract

Short and Distort (S &D) is a price manipulation scheme in the futures trading market. In recent years, S &D has become increasingly rampant due to the emergence of Bitcoin futures. While existing research has just begun to notice this phenomenon, this article presents the first detailed empirical study, where we examine the information available on S &D, synthesize it with cryptocurrencies, then propose a problematic definition and discriminatory criteria for S &D in Bitcoin futures. Besides, we provide a typical S &D case study, where we build a model to implement real-time detection of S &D in perpetual and term contracts, exhibiting higher accuracy and robustness compared to other related studies. Results show significant S &D manipulation in both perpetual and term contracts that the proposed model can effectively detect. Furthermore, the Binance exchange is relatively secure among selected exchanges, and the Bittrex exchange is the most likely to suffer from S &D.

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  1. https://www.cryptodatadownload.com/data/northamerican/

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Funding

This work is supported by the National Natural Science Foundation of China under grants 61672338 and 61873160.

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Authors and Affiliations

  1. College of Information Engineering, Shanghai Maritime University, Shanghai, China

    Dun Li, Dezhi Han, Ming Li & Shaokang Cai

  2. School of Data and Computer Science, Sun Yat-sen University, Guangzhou, China

    Zibin Zheng

  3. Department of Computer Science and Information Engineering, Providence University, Taichung, Taiwan

    Tien-Hsiung Weng & Kuan-Ching Li

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  1. Dun Li
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  2. Dezhi Han
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  4. Tien-Hsiung Weng
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  5. Kuan-Ching Li
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  6. Ming Li
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Correspondence to Kuan-Ching Li.

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Li, D., Han, D., Zheng, Z. et al. Does Short-and-Distort Scheme Really Exist? A Bitcoin Futures Audit Scheme through BIRCH & BPNN Approach. Comput Econ 63, 1649–1671 (2024). https://doi.org/10.1007/s10614-023-10378-3

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