Fratrič Peter, Sileno Giovanni, Klous Sander, van Engers Tom
Informatics Institute, University of Amsterdam, Amsterdam, The Netherlands.
Leibniz Institute, TNO/University of Amsterdam, Amsterdam, The Netherlands.
Financ Innov. 2022;8(1):60. doi: 10.1186/s40854-022-00364-3. Epub 2022 Jun 1.
Fraudulent actions of a trader or a group of traders can cause substantial disturbance to the market, both directly influencing the price of an asset or indirectly by misinforming other market participants. Such behavior can be a source of systemic risk and increasing distrust for the market participants, consequences that call for viable countermeasures. Building on the foundations provided by the extant literature, this study aims to design an agent-based market model capable of reproducing the behavior of the Bitcoin market during the time of an alleged Bitcoin price manipulation that occurred between 2017 and early 2018. The model includes the mechanisms of a limit order book market and several agents associated with different trading strategies, including a fraudulent agent, initialized from empirical data and who performs market manipulation. The model is validated with respect to the Bitcoin price as well as the amount of Bitcoins obtained by the fraudulent agent and the traded volume. Simulation results provide a satisfactory fit to historical data. Several price dips and volume anomalies are explained by the actions of the fraudulent trader, completing the known body of evidence extracted from blockchain activity. The model suggests that the presence of the fraudulent agent was essential to obtain Bitcoin price development in the given time period; without this agent, it would have been very unlikely that the price had reached the heights as it did in late 2017. The insights gained from the model, especially the connection between liquidity and manipulation efficiency, unfold a discussion on how to prevent illicit behavior.
交易员或一群交易员的欺诈行为会对市场造成重大干扰，既会直接影响资产价格，也会通过向其他市场参与者提供错误信息而间接产生影响。这种行为可能是系统性风险的一个来源，并会加剧市场参与者之间的不信任，这些后果需要可行的应对措施。基于现有文献提供的基础，本研究旨在设计一种基于主体的市场模型，该模型能够重现2017年至2018年初所谓比特币价格操纵期间比特币市场的行为。该模型包括限价订单簿市场机制以及与不同交易策略相关的多个主体，其中包括一个从实证数据初始化并进行市场操纵的欺诈性主体。该模型在比特币价格、欺诈性主体获得的比特币数量以及交易量方面得到了验证。模拟结果与历史数据拟合良好。欺诈性交易员的行为解释了几次价格下跌和交易量异常情况，完善了从区块链活动中提取的已知证据。该模型表明，欺诈性主体对于在给定时间段内实现比特币价格走势至关重要；没有这个主体，价格极不可能达到2017年末那样的高度。从该模型中获得的见解，尤其是流动性与操纵效率之间的联系，引发了关于如何预防非法行为的讨论。
