经济与社会科学2021arxiv.org
加密资产洗售交易
Crypto Wash Trading
专业 · 约 90 分钟读完前置知识：加密货币交易所基础、市场微观结构、计量经济学
导读
论文研究加密货币交易所中的洗售交易（wash trading），试图通过成交价格取整、交易规模分布等微观特征识别自动化或疑似虚增交易，并比较受监管与不受监管交易所。其核心主张是这些价格模式可作为洗售的近似指标，但评论者认为这更像自动化交易的证据，而非欺诈性洗售的确证。
HN 关注点：加密交易所交易量造假与监管差异，讨论焦点是该方法能否区分合法机器人交易和洗售。
后来怎么样
该论文使不受监管加密交易所存在大规模虚增交易量成为监管与行业讨论中的常见判断，并推动了后续对交易量真实性和链上数据透明度的实证研究。
HN 评论精选
这几条评论里：质疑 1 补充 3
质疑质疑论文把自动化交易特征当成洗售证据，方法缺乏验证。
这篇论文结论下得太早。通过检查取整订单价格的分布来检测洗售交易，是一个很强且可疑的主张，作者提供的证据很少。作者把洗售交易等同于非取整、聚集的价格，但这其实只说明存在自动化交易。自动化（“机器人”）交易确实是交易所进行洗售所需的技术，但并非洗售的独有证据。自动化交易策略（如网格交易）很流行，很多第三方机器人提供商接入多家交易所 API。也许这里的不受监管交易所只是 API/自动化更宽松。自动化交易仍是合法交易，交易者拿自己的资金冒险。我同意缺少取整和交易规模聚集可能是非人类订单的近似指标，但自动化订单存在并不自动意味着交易所有欺诈性洗售。作者也没有引用先前研究或证据证明其方法在传统金融中有效。这使得对实际洗售的证据很弱。
gillesjacobs查看英文原文
This paper jumps the gun. Detecting wash trading by examining distributions over rounded order prices is a strong and dubious claim for which they provide little evidence. The author's equate wash trading to non-rounded, clustered prices which really just indicates automated trading. Now automated ("bot") trading is a technology needed for exchanges wash trading sure, but not exclusive evidence of it. Automated trading strategies (e.g., "grid trading") are really popular and there are many third party bot providers that integrate in multiple exchange APIs. Maybe the unregulated class of exchanges here just has more permissive APIs/automation than the regulated ones. Automated trading is still legitimate trading where a party puts their capital on the line. I agree that the lack of rounding and trade size clusters is a likely approximate indicator of non-human orders. The presence of automated orders does not automatically mean there is fraudulent wash trading by the exchange. The authors also do not cite previous research or evidence of their methodology working for traditional finance. It all makes for weak evidence of actual wash trading.
补充列出被调查交易所，并好奇严格 KYC 的 Coinbase 如何发生洗售，希望看到分交易所数据。
我最近不得不与 Coinbase 等多家交易所进行大量 KYC/AML 邮件和电话沟通。这让我好奇，在他们对我如此严格的情况下，洗售交易如何发生，以及哪些交易所被调查。这些似乎是他们调查的交易所：受监管组有 Bitstamp、Coinbase、Gemini；不受监管一级有 Binance、Bittrex、Bitfinex、HitBTC、Huobi、KuCoin、Liquid、OKEx、Poloniex、ZB；二级有 Bgogo、Biki、Bitz、Coinbene、DragonEX、Lbank、MXC、Fcoin、Exmo、Coinmex、Bibox、Bitmart、Bitmax、Coinegg、Digifinex、Gate.io。若能按交易所给出百分比细分会很有意思，因为我仍不明白 Coinbase 怎么发生洗售，他们似乎非常严格。
capableweb查看英文原文
I recently had to go through extensive KYC/AML email conversations and phone calls with bunch of exchanges like Coinbase and others. Got me interested how wash trading could happen, when they were so strict with me, and which exchanges were investigated. These seems to be the exchanges they investigated. Would be interesting to see a breakdown of percentage per exchange, as I still don't understand how wash trading can happen at Coinbase since they seem to be very strict. Exchange Code Exchange Name Panel A Regulated exchanges R1 Bitstamp R2 Coinbase R3 Gemini Panel B Unregulated Tier-1 exchanges UT1 Binance UT2 Bittrex UT3 Bitfinex UT4 HitBTC UT5 Huobi UT6 KuCoin UT7 Liquid UT8 Okex UT9 Poloniex UT10 Zb Panel C Unregulated Tier-2 exchanges U1 Bgogo U2 Biki U3 Bitz U4 Coinbene U5 DragonEX U6 Lbank U7 Mxc U8 Fcoin U9 Exmo U10 Coinmex U11 Bibox U12 Bitmart U13 Bitmax U14 Coinegg U15 Digifinex U16 Gateio
补充链上交易比中心化交易所透明，CEX 有虚报交易量动机。
这就是为什么 Uniswap 的数据比中心化交易所更有价值。链上交易提供了中心化交易所难以实现的透明度和可信度。中心化交易所有动机篡改数据、虚报交易量。交易所公布交易量越大（即使虚假或人为操纵），看起来越重要。用户只能盲目相信交易所制造的数据。Uniswap 对每笔交易向所有用户收取固定费用，客观；没有特殊后台交易费率，不能谎报交易量，也没有因高频机器人交易而给予奖励。如果你想要客观数据，Uniswap 等链上交易所是真实的。
Zamicol查看英文原文
This is why Uniswap's data is much more valuable than centralized exchanges. On-chain trading permits a degree of transparency and trustworthiness not readily feasible with centralized exchanges. Centralized exchanges are incentivized to doctor their data and lie about their volumes. The larger the volumes an exchange publishes, even if fake or gamed, the more relevant an exchange appears. Users must blindly trust whatever data exchanges can manufacture. Uniswap charges a flat fee to every trade for all user. It's objective. There's no special back room trading rates, there's no ability to lie about volumes, there's no bonus for having high frequency bots trading. If you want objective data, Uniswap (and other on-chain exchanges) are truthful.
补充加密领域对 MEV 等行为的容忍导致类似传统金融的监管问题重演。
我一点也不惊讶。以太坊（及其他加密）生态中的许多参与者（包括核心开发者）把抢跑（MEV）以及为此支付保护费（flashbots）视为“特性”，所以其他“创造性交易技巧”猖獗也就不奇怪了。传统银行中每一项金融监管的理由，似乎都在加密领域以更快速度被重新发现。
Vespasian查看英文原文
I'm not surprised at all Many actors (including core devs) in the Ethereum (and other crypto) ecosphere see front running (known as MEV) and the payment for protection thereof (known as flashbots) as a "feature" so it's no wonder that other "creative trading techniques" run rampant. It seems like the reason for every financial regulation in traditional banking is rediscovered in the crypto space just much faster.
历次讨论
- 2021Hacker News 讨论帖572 分 · 299 评
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