Invited for presentation at the MIT Golub Center for Finance and Policy (GCFP) 2022 in Cambridge, MA. Also to be presented at the Paris December Finance Meeting 2022.
ISSN/ISBN: Not available at this time. DOI: Not available at this time.
Abstract: Bitcoin plunged by 30% on May 19, 2021. We examine the outage the largest crypto exchange Binance experienced during the crash, when it halted trading for retail clients and stopped providing transaction data. We find evidence that Binance back-filled these missing transactions with data that does not conform to Benford’s Law. The Bitcoin futures price difference between Binance and other exchanges was seven times larger during the crash period compared to a prior reference period. Data manipulation is a plausible explanation for our findings. These actions are in line with Binance aiming to limit losses for its futures-related insurance fund.
Bibtex:
@misc{,
author = {Tim Baumgartner and Andre Guettler and Francis Kim},
title = {Bitcoin Flash Crash on May 19, 2021: What did really happen on Binance?},
year = {2022},
how published = {\url{https://acfr.aut.ac.nz/__data/assets/pdf_file/0009/686754/6b-Tim-Baumgartner-May19.pdf}},
}
Reference Type: Conference Paper
Subject Area(s): Accounting