Paper: arXiv 2306.02148

Abstract

We examine the influence of Twitter promotion on cryptocurrency pump-and-dump events. By analyzing abnormal returns, trading volume, and tweet activity, we uncover that Twitter effectively garners attention for pump-and-dump schemes, leading to notable effects on abnormal returns before the event. Our results indicate that investors relying on Twitter information exhibit delayed selling behavior during the post-dump phase, resulting in significant losses compared to other participants. These findings shed light on the pivotal role of Twitter promotion in cryptocurrency manipulation, offering valuable insights into participant behavior and market dynamics.

Complexity vs Empirical Score

  • Math Complexity: 3.0/10
  • Empirical Rigor: 7.5/10
  • Quadrant: Street Traders — practical and empirical, lighter on theory

Why this score: The paper relies on standard event-study methodology and regression analysis with statistical significance reporting, indicating moderate empirical implementation with backtest-ready data, but contains no complex mathematical derivations or advanced statistical theory.

Research Flowchart

  flowchart TD
  A["Research Goal"] --> B["Data Collection"]
  B --> C["Abnormal Returns<br>Volume Analysis<br>Tweet Activity"]
  C --> D["Computational Analysis"]
  D --> E{"Key Findings"}
  E --> F["Twitter drives<br>attention & pre-event returns"]
  E --> G["Investors using Twitter<br>sell late & lose money"]