To the moon: defining and detecting cryptocurrency pump-and-dumps

Crime Science

Table 5 Results of the anomaly detection for three different parameter sets

	Initial parameters	Strict parameters	Balanced parameters
# of alleged pumps	9668	920	2150
# of pump and dumps	8738	485	1617
% P&D	90.4%	52.7%	75.2%
P&D/symbol	8.94	0.50	1.66
Crypto/crypto pair P&D %	96.1%	97.9%	97%
Low market cap P&D %	77.5%	84.9%	81.76%
Parameter estimation window	12 h	24 h	12 h
Parameter volume increase	25%	400%	300% 5%
Parameter price increase	3%	10%
Parameter price drop	Rolling average + 1 SD	Rolling average + 1 SD	Rolling average + 1 SD

Alleged pumps = pumps detected in real-time without taking information about whether the price drops afterwards; pump-and-dumps = those which are followed by a price dip of the rolling average of the previous observation plus one standard deviation; % of P&D = the percentage of the alleged pumps which were actually followed by price dips; % of crypto/crypto pairs = the percentage of all P&Ds which are made up of crypto/crypto trading pairs; % of low market cap P&Ds = the percentage of all P&Ds which are made up of low market cap coins

ISSN: 2193-7680