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emmajanegda
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Posts: 1
Joined: June 15th, 2020, 5:25 am

Bitcoin Market Micostructure <> Spotting the Whales and Manipulation

June 15th, 2020, 6:01 am

Hey guys,

We are a crypto prop investment fund located in Australia and Dubai International Financial Centre - we focus on tail risk hedging (Which is particularly relevant to crypto given the extreme volatility!!). See more info here: www.gda.fund/the-master-plan 

Anyway, we are currently looking at a new strategy around Bitcoin market microstructure, particularly in terms of spotting the manipulation of the crypto whales and 'Market Makers' (i.e. spoofing, wash trading, herding etc. .... it's the wild west!!) and then through order book analysis developing some 'indicators' that can be used to generate probabilistic models and outcome scenarios around market moves (i.e. spoofing on this exchange has a correlation to the huge spike in price etc.)

We are wanting to work with a Quant trader who can start translating, automating and also validating some of these models and our research. If anyone thinks this sounds interesting or perhaps could facilitate an introduction it would be much appreciated!! We haven't ever really looked at market microstructure before (In the past our models and strategies have been built on different parameters), so a new area for us and since it's hard to come across people we thought it'd be best to reach out to the community :) 

My WhatsApp is +61424173388

Thanks! 
 
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noah977
Posts: 1
Joined: September 2nd, 2009, 9:19 am

Re: Bitcoin Market Micostructure <> Spotting the Whales and Manipulation

January 18th, 2022, 6:55 am

I actually gave a talk on this 7 years ago in Hong Kong.  Orderbook market microstructure is a fascinating topic.  Ping me if you want to discuss things.
 
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Alan
Posts: 2958
Joined: December 19th, 2001, 4:01 am
Location: California
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Re: Bitcoin Market Micostructure <> Spotting the Whales and Manipulation

January 18th, 2022, 7:29 pm

Suppose Bitcoin was regularly manipulated in an off-shore (off-shore to the US) exchange, which seems likely to me. If so, what would be the orderbook or price action symptoms visible in a (presumably legit) US exchange like coinbase.com?  
 
cryptoarbitrageguy
Posts: 3
Joined: June 7th, 2022, 7:15 pm

Re: Bitcoin Market Micostructure <> Spotting the Whales and Manipulation

April 19th, 2023, 5:52 pm

1. Tail hedging in BTC is hilarious because the VRP is way overpriced due to forced hedgers.
2. Market makers don't manipulate the market, they will just want to get flat once inventory is put on.
3. Manipulation will get you banned on any of the major exchanges like Binance, it is actually incredibly annoying to deal with their ML rate limiter that will freak out on the slightest sign of manipulation even if you are behaving well in reality.
4. Most of the manipulation that happens is actually by the exchanges internal desks (shady) and targets the market makers - not retail