Frequent price manipulation in the Bitcoin market will lead to market risk and seriously disrupt the financial order,but there is less research on its regulation.We address the Bitcoin price manipulation problem by bu...Frequent price manipulation in the Bitcoin market will lead to market risk and seriously disrupt the financial order,but there is less research on its regulation.We address the Bitcoin price manipulation problem by building a regulatory game model.First,we study the price manipulation mechanism of the Bitcoin market based on behavioral finance and clarify the boundary conditions.Second,we introduce regulator constraints and establish a game model between the manipulator and the regulator.Further,through variable deconstruction,parameter verification,and simulation analysis,we explore how to achieve effective regulation of Bitcoin price manipulation.We find that the effective regulation of Bitcoin price manipulation can be achieved in three ways:(1)Adjust the penalty coefficient with a certain lower threshold so that the manipulator’s expected return is negative;(2)Set the lowest possible price fluctuation standard while ensuring that it does not interfere with market-based transactions;(3)The simulation of price manipulation regulation is optimized and most efficiently controlled when the probability of investigation is dynamically adjusted by a concave function on the price fluctuation standard.展开更多
基金the National Science Foundation of China(No.61602536)Emerging Interdisciplinary Project of Central University of Finance and Economics(CUFE)Financial Sustainable Development Research Team.
文摘Frequent price manipulation in the Bitcoin market will lead to market risk and seriously disrupt the financial order,but there is less research on its regulation.We address the Bitcoin price manipulation problem by building a regulatory game model.First,we study the price manipulation mechanism of the Bitcoin market based on behavioral finance and clarify the boundary conditions.Second,we introduce regulator constraints and establish a game model between the manipulator and the regulator.Further,through variable deconstruction,parameter verification,and simulation analysis,we explore how to achieve effective regulation of Bitcoin price manipulation.We find that the effective regulation of Bitcoin price manipulation can be achieved in three ways:(1)Adjust the penalty coefficient with a certain lower threshold so that the manipulator’s expected return is negative;(2)Set the lowest possible price fluctuation standard while ensuring that it does not interfere with market-based transactions;(3)The simulation of price manipulation regulation is optimized and most efficiently controlled when the probability of investigation is dynamically adjusted by a concave function on the price fluctuation standard.
