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KRİPTOPARA BİRİMLERİ PİYASASINDA PUMP&DUMP MANİPULASYONLARININ İKİ AŞAMALI ANALİZİ

Yıl 2019, Cilt: 33 Sayı: 3, 919 - 932, 16.07.2019

Öz



Bu çalışma kapsamında, kripto para birimi piyasalarındaki manipülatif
faaliyetlerin belgelenmesi ve yapısının incelenmesi amaçlanmıştır. Bu amaçla
kripto para birimi piyasalarındaki fiyat sıçramaları iki aşamalı olarak analiz
edilmiştir. Çalışmanın ilk aşamasında, bir kripto borsa olan Binance bünyesinde
aktif bir hesap oluşturulmuş ve Telegram üzerinden haberleşen manipülasyon
grupları ile birlikte hareket edilerek “Pump and Dump” tipi bir manipülasyona
dahil olunmuştur. Deney kapsamında 30 saniye süren bir dizi işlem sonucunda %25
getiri elde edilmiştir.  Buna ek olarak,
bu tür manipülasyonların işlem hacmi düşük olan genç piyasaları hedef aldığı
tespit edilmiştir. Bu bulgulardan hareketle olgun piyasaların tepkilerini ölçme
amacıyla, Bitcoin fiyat serisi üzerinde dakikalık frekansta 1.162.887 gözlem
kullanılarak Jump-Difüzyon analizi gerçekleştirilmiştir. Analiz bulgularına
göre kripto para birimlerinin belirli bir olgunluğa ulaştıktan sonra
manipülasyonlara karşı bağışıklık kazandığı gözlemlenmiştir. Çalışma sonucunda teknolojik
olarak daha başarılı olan yeni kripto para birimlerinin manipülasyonlardan
kaynaklı sebeplerden dolayı talep görmediği sonucuna ulaşılmıştır. Bu
doğrultuda, gelecek çalışmaların kripto para birimlerinde manipülasyonu
önleyici yazılımsal bileşenler üzerine gerçekleştirilmesine dair önerilerde
bulunulmuştur.

Kaynakça

  • Barndorff-Nielsen, O. E., ve Shephard, N. (2004) “Power and bipower variation with stochastic volatility and jumps”, Journal of financial econometrics, 2(1), ss.1 37.
  • Cartea, A., ve Figueroa, M. G. (2005) “Pricing in electricity markets: a mean reverting jump diffusion model with seasonality”, Applied Mathematical Finance, 12(4), ss.313 335.
  • Chen, C. Y., Härdle, W. K., Hou, A. J., ve Wang, W. (2018) “Pricing Cryptocurrency options: the case of CRIX and Bitcoin. Kaynak: https://ssrn.com/abstract=3159130
  • Darlington III, J. K. (2014) “The Future of Bitcoin: Mapping the Global Adoption of World’s Largest Cryptocurrency Through Benefit Analysis” Kaynak: https://trace.tennessee.edu/cgi/viewcontent.cgi?article=2741&context=utk_chanhonoproj
  • Gronwald, M. (2014) “The Economics of Bitcoins-Market Characteristics and Price Jumps”, CESifo Group Munich, 5(1), ss.2 1.
  • Kou, S. G. (2002) “A jump-diffusion model for option pricing”, Management science, 48(8), ss.1086 1101.
  • Kou, S. G., ve Wang, H. (2004) “Option pricing under a double exponential jump diffusion model”, Management science, 50(9), ss.1178 1192.
  • MacDonell, A. (2014) “Popping the Bitcoin bubble: An application of log-periodic power law modeling to digital currency” Notre Dame Üniversitesi Çalışma Notları.
  • Merton, R. C. (1976) “The impact on option pricing of specification error in the underlying stock price returns”, The Journal of Finance, 31(2), ss.333 350.
  • Phillip, A., Chan, J., ve Peiris, S. (2018) “On long memory effects in the volatility measure of Cryptocurrencies”, Finance Research Letters. Kaynak: https://www.sciencedirect.com/science/article/abs/pii/S1544612318301120
  • Scaillet, O., Treccani, A., ve Trevisan, C. (2017) “High-frequency jump analysis of the bitcoin market”, Kaynak: http://dx.doi.org/10.2139/ssrn.2982298
  • Scott, L. O. (1997) “Pricing stock options in a jump‐diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods”, Mathematical Finance, 7(4), ss.413 426.
  • Tankov, P., ve Voltchkova, E. (2009) “Jump-diffusion models: a practitioner’s guide”, Banque et Marchés, 99(1), ss.2 4.
  • Turpin, J. B. (2014) “Bitcoin: The economic case for a global, virtual currency operating in an unexplored legal framework”, Indiana Journal of Global Legal Studies, 21(1), ss.335 368.
  • Vigna, P., ve Casey, M. J. (2016) “The age of cryptocurrency: how bitcoin and the blockchain are challenging the global economic order”, Macmillan Yayınevi, İngiltere.
  • Vockathaler, B. (2015) “The Bitcoin Boom: An In Depth Analysis Of The Price Of Bitcoins”, Kaynak: http://hdl.handle.net/10393/32888
  • Zaki, M., Diaz, D., ve Theodoulidis, B. (2012) “Financial Market Service Architectures: A" Pump and Dump" Case Study”, SRII Global Conference, 1(1), ss. 554 563.

A TWO STAGE ANALYSIS OF PUMP & DUMP MANIPULATIONS ON THE CYRPTOCURRENCY MARKET

Yıl 2019, Cilt: 33 Sayı: 3, 919 - 932, 16.07.2019

Öz



Aim of this study is to document and analyze the manipulative
transactions in the cryptocurrency market. With this purpose, manipulative
price jumps in the cryptocurrency markets are discussed in two stages. In the
first stage of the study, an active account was created within Binance, a
crypto stock exchange, and it was involved in pump and dump manipulations
working with groups communicating over Telegram. As a result of a series of
operations lasting only 30 seconds, a 25% rate of return was achieved. In
addition, it has been determined that, these manipulations target young markets
with low transaction volumes. Based on these findings, a Jump-Diffusion analysis
was applied on Bitcoin price series using 1,162,887 high-frequency observations
on Bitcoin price series for the purpose of measuring the reactions of mature
markets to these manipulation attempts. According to findings, it was observed
that cryptocurrencies gained immunity against manipulations after reaching a
certain maturity. As a result of the study, it was concluded that new
technologically successful crypto currencies were not in demand due to
prevalence of manipulations. Future work has been advised to be made in the
cryptocurrencies on the manipulation-preventing software components.

Kaynakça

  • Barndorff-Nielsen, O. E., ve Shephard, N. (2004) “Power and bipower variation with stochastic volatility and jumps”, Journal of financial econometrics, 2(1), ss.1 37.
  • Cartea, A., ve Figueroa, M. G. (2005) “Pricing in electricity markets: a mean reverting jump diffusion model with seasonality”, Applied Mathematical Finance, 12(4), ss.313 335.
  • Chen, C. Y., Härdle, W. K., Hou, A. J., ve Wang, W. (2018) “Pricing Cryptocurrency options: the case of CRIX and Bitcoin. Kaynak: https://ssrn.com/abstract=3159130
  • Darlington III, J. K. (2014) “The Future of Bitcoin: Mapping the Global Adoption of World’s Largest Cryptocurrency Through Benefit Analysis” Kaynak: https://trace.tennessee.edu/cgi/viewcontent.cgi?article=2741&context=utk_chanhonoproj
  • Gronwald, M. (2014) “The Economics of Bitcoins-Market Characteristics and Price Jumps”, CESifo Group Munich, 5(1), ss.2 1.
  • Kou, S. G. (2002) “A jump-diffusion model for option pricing”, Management science, 48(8), ss.1086 1101.
  • Kou, S. G., ve Wang, H. (2004) “Option pricing under a double exponential jump diffusion model”, Management science, 50(9), ss.1178 1192.
  • MacDonell, A. (2014) “Popping the Bitcoin bubble: An application of log-periodic power law modeling to digital currency” Notre Dame Üniversitesi Çalışma Notları.
  • Merton, R. C. (1976) “The impact on option pricing of specification error in the underlying stock price returns”, The Journal of Finance, 31(2), ss.333 350.
  • Phillip, A., Chan, J., ve Peiris, S. (2018) “On long memory effects in the volatility measure of Cryptocurrencies”, Finance Research Letters. Kaynak: https://www.sciencedirect.com/science/article/abs/pii/S1544612318301120
  • Scaillet, O., Treccani, A., ve Trevisan, C. (2017) “High-frequency jump analysis of the bitcoin market”, Kaynak: http://dx.doi.org/10.2139/ssrn.2982298
  • Scott, L. O. (1997) “Pricing stock options in a jump‐diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods”, Mathematical Finance, 7(4), ss.413 426.
  • Tankov, P., ve Voltchkova, E. (2009) “Jump-diffusion models: a practitioner’s guide”, Banque et Marchés, 99(1), ss.2 4.
  • Turpin, J. B. (2014) “Bitcoin: The economic case for a global, virtual currency operating in an unexplored legal framework”, Indiana Journal of Global Legal Studies, 21(1), ss.335 368.
  • Vigna, P., ve Casey, M. J. (2016) “The age of cryptocurrency: how bitcoin and the blockchain are challenging the global economic order”, Macmillan Yayınevi, İngiltere.
  • Vockathaler, B. (2015) “The Bitcoin Boom: An In Depth Analysis Of The Price Of Bitcoins”, Kaynak: http://hdl.handle.net/10393/32888
  • Zaki, M., Diaz, D., ve Theodoulidis, B. (2012) “Financial Market Service Architectures: A" Pump and Dump" Case Study”, SRII Global Conference, 1(1), ss. 554 563.
Toplam 17 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Tuna Can Güleç 0000-0003-2551-6460

Hüseyin Aktaş 0000-0002-0580-4644

Yayımlanma Tarihi 16 Temmuz 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 33 Sayı: 3

Kaynak Göster

APA Güleç, T. C., & Aktaş, H. (2019). KRİPTOPARA BİRİMLERİ PİYASASINDA PUMP&DUMP MANİPULASYONLARININ İKİ AŞAMALI ANALİZİ. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 33(3), 919-932.

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