[Analysis] Investigation into the legitimacy of reported cryptocurrency exchange volume
Quantitative trading firm Alameda Research followed up Bitwise's 'Real 10' exchange report presented to the SEC with an exchange volume valuation criterion set. Minus criteria one, no single measure condemns an exchange as a data manipulator according to Alameda.
- Manual investigation of website trading history if available and decipherable
- Algorithm check of price and size movements compared to self-reported data
- Hourly volume changes of suspect exchanges versus hourly volume of verified exchanges
- Alameda Research's own volume compared to an exchange's typical volume
- Total exchange order book depth compared to the exchange's volume
- The fraction of an exchange's market with order book depth compared to its own volume
Among others, BitMEX, Coinbase Pro, and Bitfinex were a handful of exchanges to pass the test.
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