https://ryanorban.com/categories/market-manipulation/Recent content in Market-Manipulation on Ryan OrbanHugoen-usme@ryanorban.com (Ryan Orban)me@ryanorban.com (Ryan Orban)Ryan OrbanWed, 12 Jan 2022 00:00:00 +0000https://ryanorban.com/notes/knuteson-overnight-intraday-market-manipulation/Wed, 12 Jan 2022 00:00:00 +0000me@ryanorban.com (Ryan Orban)https://ryanorban.com/notes/knuteson-overnight-intraday-market-manipulation/<h3 id="summary" class="scroll-mt-8 group"> Summary <a href="#summary" class="no-underline hidden opacity-50 hover:opacity-100 !text-inherit group-hover:inline-block" aria-hidden="true" title="Link to this heading" tabindex="-1"> <svg xmlns="http://www.w3.org/2000/svg" width="16" height="16" fill="none" stroke="currentColor" stroke-linecap="round" stroke-linejoin="round" stroke-width="2" class="lucide lucide-link w-4 h-4 block" viewBox="0 0 24 24" > <path d="M10 13a5 5 0 0 0 7.54.54l3-3a5 5 0 0 0-7.07-7.07l-1.72 1.71" /> <path d="M14 11a5 5 0 0 0-7.54-.54l-3 3a5 5 0 0 0 7.07 7.07l1.71-1.71" /> </svg> </a> </h3> <p>Bruce Knuteson (arXiv:2201.00223, Jan 2022) presents a forensic finance argument that the world&rsquo;s stock markets have exhibited a decades-long pattern of overnight returns and intraday returns inconsistent with any normal market explanation. The pattern: across major global indices and individual stocks, overnight returns (close-to-open) systematically outperform intraday returns (open-to-close) by an implausible margin — the opposite of what risk-bearing logic predicts, since intraday periods carry more trading risk.</p>https://ryanorban.com/notes/crypto-wash-trading/Tue, 21 Dec 2021 00:00:00 +0000me@ryanorban.com (Ryan Orban)https://ryanorban.com/notes/crypto-wash-trading/<h3 id="summary" class="scroll-mt-8 group"> Summary <a href="#summary" class="no-underline hidden opacity-50 hover:opacity-100 !text-inherit group-hover:inline-block" aria-hidden="true" title="Link to this heading" tabindex="-1"> <svg xmlns="http://www.w3.org/2000/svg" width="16" height="16" fill="none" stroke="currentColor" stroke-linecap="round" stroke-linejoin="round" stroke-width="2" class="lucide lucide-link w-4 h-4 block" viewBox="0 0 24 24" > <path d="M10 13a5 5 0 0 0 7.54.54l3-3a5 5 0 0 0-7.07-7.07l-1.72 1.71" /> <path d="M14 11a5 5 0 0 0-7.54-.54l-3 3a5 5 0 0 0 7.07 7.07l1.71-1.71" /> </svg> </a> </h3> <p>Lin William Cong, Xi Li, Ke Tang, and Yang Yang introduce systematic tests for detecting wash trading on cryptocurrency exchanges, exploiting the fact that real markets produce statistical patterns (Benford&rsquo;s Law distributions, characteristic size rounding, specific tail distributions) that fake trading cannot easily replicate. They apply these tests to 29 exchanges, finding rampant manipulation on unregulated platforms while regulated exchanges show the patterns consistently observed in legitimate financial markets.</p>