While pump-and-dump schemes have attracted the attention of cryptocurrency observers and regulators alike, this paper is the first detailed study of pump-and-dump activities in cryptocurrency markets. We present a case study of a recent pump-and-dump event, investigate 220 pump-and-dump URLanized in Telegram channels from July 21 , 2018 to November 18, 2018 , and discover patterns in crypto-markets associated with pump-and-dump schemes. We then build a model that predicts the pump likelihood of a given coin prior to a pump. The model exhibits high precision as well as robustness, and can be used to create a simple, yet very effective trading strategy, which we empirically demonstrate can generate a return as high as 80\% within a span of only three weeks .
While pump-and-dump schemes have attracted the attention of cryptocurrency observers and regulators alike, this paper represents the first detailed empirical query of pump-and-dump activities in cryptocurrency markets. We present a case study of a recent pump-and-dump event, investigate 412 pump-and-dump URLanized in Telegram channels from June 17 , 2018 to February 26, 2019 , and discover patterns in crypto-markets associated with pump-and-dump schemes. We then build a model that predicts the pump likelihood of all coins listed in a crypto-exchange prior to a pump. The model exhibits high precision as well as robustness, and can be used to create a simple, yet very effective trading strategy, which we empirically demonstrate can generate a return as high as 60\% on small retail investments within a span of two and half months. The study provides a proof of concept for strategic crypto-trading and sheds light on the application of machine learning for crime detection .
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220
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60\% on small retail investments
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two and half months. The study provides a proof of concept for strategic crypto-trading and sheds light on the application of machine learning for crime detection