> ## Content Index
> Fetch the complete content index at: https://aligrithm.com/llms.txt
> Use this file to discover other available public pages before exploring further.

# 5.53 Spot-Futures Manipulation in Crypto: Pump Spot, Trap Perp Longs, Dump
- URL: https://aligrithm.com/spot-futures-manipulation-in-crypto-pump-spot-trap-perp-longs-dump/
- Published: 2026-10-02T09:46:35.000Z
- Updated: 2026-10-02T09:46:34.000Z
- Description: Crypto microstructure: Binance alt spikes flagged as spot-futures manipulation lag other spikes by 0.83% in 2 hours and 1.64% in 24 hours. The flag is a heuristic.
- Author: ali askar
- Tags: 5. Microstructure Alpha

Wang and Zhang study more than 300 altcoins on Binance from 2020 to 2024 and flag about 200 spikes as spot-futures manipulation. In a pooled regression those flagged spikes have forward returns 0.83% lower at two hours and 1.64% lower at 24 hours than other spikes, holding the pre-spike return, the basis change, the open-interest change, and volume fixed. The two-hour coefficient is the fragile one. Divide the printed -0.83% by its printed standard error of 0.41 percentage points and the t-statistic is 2.02\. A normal approximation to that t-statistic has a two-sided p-value of 0.043\. The 24-hour coefficient, -1.64% with standard error 0.54 percentage points, has a t-statistic of 3.04 and a p-value of 0.002\. No exchange, court, or wallet labels any of the 200 episodes as manipulation. Their schematic sets the coin at 10, then 40, then 60, then 30, with a fundamental value drawn at 10\. The estimated extra loss at a day is 1.64 percentage points.

## What this actually is

You are about to buy a Binance alt perpetual because the coin's high stands 20% clear of the open, the close, and the low. The decision is whether that high is someone lifting a thin spot book so leveraged buyers will take the other side.

Wang and Zhang keep days with that high, drop days whose low fell to 90% of the close or lower, drop days when Bitcoin spiked too, and then keep the subset where, on the way in, the perpetual cheapened against spot, open interest rose, and the long-short ratio of the largest-margin accounts fell.

Picture a stall that marks up a thin item in the window, waits for a crowd to jam the side door with borrowed cash, sells the window stock into that crowd, and shorts the side door before marking the window down. The window is spot. The side door is the perpetual. In the 5-minute panel around these spikes, mean futures volume is 17.3 million dollars and mean spot volume is 4.2 million dollars.

If the 1.64% gap holds, you skip the new perp long once those three signs are on the tape. Size a short off the schematic, a walk from 60 down to 10, and you hold a short in a coin that rallied the same day, on a path the authors assumed, on a day the filter required to hold its gain into the close.

## The flag is a daily high plus three pre-spike signs

Membership in the 200 is a daily price rule plus three pre-spike signs. A day is a spike when the high clears 20% above the largest of the open, the close, and the low, and the low stays above 90% of the close. Wang and Zhang write that "the daily high price exceeds at least 20% of the maximum value among the open, close, or low." Read as a high greater than one fifth of that maximum, the rule would keep every day with a positive price, because the high is already at least that maximum. The next sentence says the threshold is there to keep large upward moves, so the reading used here is a 20% protrusion. They also drop an altcoin spike that lands on a Bitcoin spike day, and they give that rule no separate formula. The minute inside the day that they call the spike is unspecified. The event charts are clocked to a zero defined only by that word.

$$ H \\geq 1.20 \\times \\max(O,\\, C,\\, L) $$ $$ L > 0.90 \\times C $$

Read it as two filters on the daily bar, in price units. H, O, C, and L are the high, the open, the close, and the low. The first line keeps a day when the high is at least 20% above whichever of the open, the close, and the low is largest. The second line drops a day whose low reached 90% of the close or lower.

Worked day, prices in dollars. Open 1.00, high 1.40, low 1.00, close 1.10\. The max of open, close, and low is 1.10, and 1.20 times 1.10 is 1.32\. The high of 1.40 clears 1.32\. The low of 1.00 sits above 0.90 times 1.10, which is 0.99\. The day stays in. Move the low to 0.80 and leave the rest. The high of 1.40 still clears 1.32, and 0.80 is below 0.99, so the day goes out. They want the spike day to have held.

On that sample they count about 2,000 spikes. The manipulation flag is a second cut, on the hours before the spike: the basis falls, open interest rises, and the top-trader long-short ratio falls. About 200 spikes survive. Binance funding updates every eight hours, so they leave it out of the flag and use the basis.

$$ B = \\frac{F}{S} - 1 $$

Read it as the gap between the perpetual and spot. F is the perpetual price and S is the spot price, in the same units. Multiply by 100 and the gap is in percent. A negative gap means the perpetual is cheap to spot. Their Table 1 reports the basis in percent: mean -3.82, median -1.84, minimum -630.25\. A printed basis of -630.25% is a futures-over-spot ratio of 1 minus 6.3025, which equals -5.30\. That print cannot be a traded price. They publish the minimum, and the paper never says those ticks were dropped before the regressions.

The means of 5-minute volume in the same table are 17.26 million dollars in the perpetual and 4.22 million in spot. Divide 17.26 by 4.22 and the ratio is 4.09, the "about four times" in their text. The medians are 0.188 million and 0.029 million. Divide 0.188 by 0.029 and the ratio is 6.48\. A typical bin is far smaller than the mean, and the perpetual is the busier book at both the mean and the median. The maximum futures volume in the table is 39,582 million dollars, so the mean is a tail.

## The schematic walks from 10 to 60\. One plotted episode gives back about a fifth

The path they claim, and the path of the one coin they plot, are two different objects.

Figure 1 of the paper is a drawing. The coin starts at 10, ends the pump at 40, peaks at 60 after retail arrives, ends the dump at 30, and drifts back to a fundamental value drawn at 10\. The dump is 30 points under the peak. The rest of the way, from 30 down to 10, is the drawn convergence. Table 2 does not estimate either leg. The prices are assumed.

HOOKUSDT, 24 to 27 December 2023, is the episode they plot. Eyeball the futures line to the nearest cent: about 0.45 a day before the spike, about 0.54 at the spike, about 0.44 a day after. Take 0.54 minus 0.45, and divide by 0.45: the rise is 20%. Take 0.44 minus 0.54, and divide by 0.54: the decline is -18.5%. One episode, read off a chart. The average partial effect in the next section is 1.64% at a day.

At the spike the basis on that chart is about -1%. With the perpetual at 0.54, spot is 0.54 divided by 0.99, which is 0.5455, or 0.55 cents above the perpetual. The spot-over-perp gap in the episode they chose is 0.55 cents on a coin that moved about 20%. Open interest runs from about 6 million dollars to about 15 million at the high and then fades. The top-trader position long-short ratio runs from about 1.3 down to about 1.0 at the high and back above 1.3 afterward. It stays above 1\. Large-margin accounts were less long at the top. The book, on this chart, stays net long. Funding, which they left out of the flag because it steps every eight hours, sits near -0.002% for the eight hours after the high.

![HOOKUSDT, 24 to 27 December 2023: futures price, basis, funding rate, open interest, and the top-trader position long-short ratio, clocked to the spike](https://storage.ghost.io/c/27/cb/27cb0fc8-2c77-4434-af9e-d5d32a916994/content/images/2026/09/article_465-hookusdt_spike.png)

## The extra loss is 0.83% at two hours and 1.64% at a day

The load-bearing number is the gap in forward returns between flagged spikes and other spikes, with the pre-spike move held fixed.

$$ R^{(h)} = \\alpha\_h + \\beta\_{B,h}\\,\\Delta B + \\beta\_{OI,h}\\,\\Delta OI + \\beta\_{V,h}\\,V + \\beta\_{R,h}\\,R\_{\\text{pre}} + \\beta\_{M,h}\\,M + \\varepsilon $$

Read it as a fitted forward return over horizon h, in decimal. R is that futures return. Delta B and delta OI are the pre-spike changes in basis and open interest, each measured over a window of the same length as h. V is average futures volume before the spike, in millions of dollars. R\_pre is the return over that same pre-spike window, in decimal. M is 1 when the three-way flag is on and 0 otherwise. Alpha is the fitted return when every regressor is 0\. Epsilon is the residual. They report five horizons: 30 minutes, 60 minutes, 2 hours, 4 hours, and 24 hours. The coefficient on M, converted to percent, is -1.18, -1.03, -0.83, -1.33, and -1.64\. Two stars at two hours, three stars on the other four.

Worked 2-hour row. Set the basis change, the open-interest change, and volume to 0 so the arithmetic is visible. Zero is a reference point, and it is not the sample mean. Take a pre-window return of 20%, which is 0.20, and turn the flag on. The intercept is -0.0325, the pre-return slope is -0.2824, and the dummy is -0.0083.

The fitted return is -0.0325 + (-0.2824)(0.20) + (-0.0083). The middle term is -0.05648\. The sum is -0.09728, or -9.73%. Flag off, drop the last term: -0.0325 - 0.05648 = -0.08898, or -8.90%. The gap is -0.0083, the dummy, recovered from the same arithmetic.

Same exercise at 24 hours. The intercept is -0.0994, the pre-return slope is -0.1441, the dummy is -0.0164\. Flag on, with the same 20% pre-window return: -0.0994 + (-0.1441)(0.20) + (-0.0164) = -0.0994 - 0.02882 - 0.0164 = -0.14462, or -14.46%. Flag off: -0.12822, or -12.82%. The gap is 1.64 percentage points.

The pre-return term does the heavy lifting. At two hours its slope is -0.2824 with standard error 0.0310, and 0.2824/0.0310 = 9.11\. A 20% pre-window rise lines up with 5.65 percentage points of giveback. The flag lines up with 0.83\. At 24 hours the same 20% lines up with 2.88 percentage points of giveback, against 1.64 from the flag. The chart puts those two contributions side by side. Whiskers are one standard error from Table 2\. The orange whisker is the standard error of the slope, multiplied by the same 20%.

![Partial effect of the manipulation flag, and the giveback from a 20% pre-window rise, at each horizon in Table 2. Whiskers are one standard error.](https://storage.ghost.io/c/27/cb/27cb0fc8-2c77-4434-af9e-d5d32a916994/content/images/2026/09/article_465-post_spike_partial_effects.png)

Two other slopes belong next to the dummy. The open-interest change enters at +0.0156 at two hours, three stars. A larger pre-spike build in open interest lines up with a higher forward return in the pooled sample. The flag, which requires open interest to have risen, lines up with a lower forward return. The paper does not state the unit of the open-interest change, so 0.0156 stays in their units. Average volume prints as 0.0000 to four decimals and still carries stars. A coefficient smaller than 0.00005 in absolute value prints as 0.0000 to four decimals, and 0.00005 of return is half a basis point, so the per-million-dollar effect sits under half a basis point.

The intercept runs from -1.46% at 30 minutes to -9.94% at 24 hours. It is the fitted return when the pre-window return is 0 and the other controls are 0\. A spike with a zero pre-window return is a strange spike. The intercept stays out of any sentence about the average dump.

The regression keeps 1,267 events at 30 minutes and 1,209 at 24 hours. The text says about 2,000 spikes and about 200 flags. The three counts are never reconciled. R-squared is 0.20 at two hours and 0.16 at 24 hours.

A normal approximation on the five printed t-statistics gives two-sided p-values, in horizon order, of 0.0001, 0.0054, 0.043, 0.003, and 0.002\. Five looks at a 5% Bonferroni cutoff means each test has to clear 0.01\. The two-hour result is the one that misses. The 24-hour result clears it. The five regressions share a sample, so this is a stress on the printed stars, and it leaves their coefficients as printed.

## Large accounts get less long into the high

The second result is the slope of futures returns on large-account position changes, reported separately on flagged spikes and on the rest.

$$ r = a + b\_{TT}\\,\\Delta LS^{TT} + b\_{TK}\\,\\Delta LS^{TK} + u $$

Read it as the futures return over one bar, in decimal, fit on the change in two long-short ratios over that same bar. Delta LS with the TT mark is the change in the long-short ratio of accounts in the top 20% by margin balance. Binance defines the group by margin. The HOOK panel is the position ratio, long position size over short position size. Delta LS with the TK mark is the change in the taker buy-versus-sell ratio. The b terms are slopes. u is the residual. They do not name the bar. Table 1 is built on five-minute data, and the row count matches that bar: four hours each side of the spike is 96 five-minute bars, and 19,175 divided by 96 is 199.7, in line with about 200 flags. A one-minute bar is 480 bars over the same eight hours, and 19,175 divided by 480 is 40 events, which misses the flag count. The other sample has 75,217 rows, 783.5 events at 96 bars. Table 2 kept 1,267 events at the 30-minute horizon. The long-short series is missing more often. Table 1 shows 1.71 million long-short rows against 2.24 million return rows.

On the flagged sample the slope on the top-trader change is -0.0326, standard error 0.0084\. Divide 0.0326 by 0.0084 and the t-statistic is 3.88\. Episode fixed effects, and then average volume, leave it at -0.0327 or -0.0326\. On the other sample the slope is -0.0097, standard error 0.0060, t-statistic 1.62, p-value about 0.11 under the same normal approximation. A fixed effect puts a single star on -0.0095, and the star is gone at -0.0093 once volume is in the regression. The taker-ratio slope prints as -0.0000 in both samples. Table 1's taker ratio has a standard deviation of 79.6 and a maximum of 112,789, against a median of 0.98\. A printed zero is what that series produces.

Worked bar, using the flagged slope of -0.0326\. The top-trader ratio falls by 0.10 in a five-minute bin, from 1.25 to 1.15\. The fitted contribution is -0.0326 times -0.10, which is +0.00326, or +32.6 basis points, in that bar. A rise of 0.10 lines up with -32.6 basis points. Into the high, the ratio falls while price rises. After the high, on the HOOK chart, the ratio rises while price falls. Both legs produce a negative slope. They do not report a lagged ratio. The slope is co-movement inside the episode.

The flag already requires the ratio to fall before the spike, and the window includes those pre-spike bars. Part of the -0.0326 is the selection rule meeting the price path it was built on. A slope fit only on the bars after the spike would separate the two, and Table 3 pools both halves. The sample median of the ratio is 1.15 and the mean is 1.39\. The HOOK path bottoms near 1.0\. The shift is toward short, inside a book that stays net long on average and in the plotted episode.

## Sizing off 1.64 percentage points

The coefficient supports a refusal. A Binance alt that has printed the daily spike and the three pre-spike signs has an estimated 24-hour futures return 1.64 percentage points below an otherwise similar spike, before any spread, fee, or funding. At two hours the gap is 0.83 percentage points, and that is the horizon a five-test cutoff drops.

The old article ["How Manipulatable Are Prediction Markets? The Field Experiment"](https://aligrithm.com/how-manipulatable-are-prediction-markets-the-field-experiment/) measures a manipulation because the experimenter turned it on. Wang and Zhang keep the days that already match the story, then measure a further 1.64% at 24 hours. The old article "How to Spot a Fake ML Trading Paper (house-style field guide)" asks whether the label was fixed before the score was computed. Here the label is a threshold on basis, open interest, and the long-short ratio, chosen on this sample, then entered as a regressor on this sample.

Funding on the HOOK chart steps to about -0.002% and stays there for eight hours after the high. Their description of the contract says that when the perpetual trades below spot, shorts pay longs. A rate of -0.002 percent is -0.00002 in decimal. On a 10,000 dollar short that is 0.20 dollars per eight hours. The futures line on the same chart moves about 20%. The paper reports no spread and no fee. Delisted coins, any trim of the -630% basis print, and a multiplicity adjustment are absent.

Dhawan and Putnins study spot pump-and-dumps and the traders who enter them against a negative expected return. Li, Shin, and Wang map the spot version of the scheme. Wang and Zhang add the perpetual leg: short it while the spot inventory goes out. In their table the addition is 1.64 percentage points at a day. The schematic's trip from 60 to the drawn fundamental value of 10 is an assumed path. A short sized to that path is sized to the drawing.

![](https://storage.ghost.io/c/27/cb/27cb0fc8-2c77-4434-af9e-d5d32a916994/content/images/2026/09/article_465-visual-0.png)

## KEY POINTS

- Across 300-plus Binance altcoins, 2020 to 2024, a spike day has a high at least 20% above the max of open, close, and low, with the low still above 90% of the close, and with Bitcoin quiet that day. About 2,000 such days. About 200 also show a falling basis, rising open interest, and a falling top-trader long-short ratio before the high.
- The flag's partial effect on the forward futures return is -1.18% (30 min), -1.03% (60 min), -0.83% (2 hr, t = 2.02, normal p = 0.043), -1.33% (4 hr), and -1.64% (24 hr, t = 3.04, normal p = 0.002). The pre-return slope at two hours is -0.2824 (t = 9.11). A 20% pre-window rise lines up with 5.65 percentage points of giveback, against 0.83 from the flag.
- The schematic sets prices at 10, 40, 60, 30, and a fundamental value of 10\. HOOKUSDT, read off their figure to the nearest cent, runs about 0.45 to 0.54 to 0.44, a +20% rise and a -18.5% decline. Basis near -1% at the high puts spot 0.55 cents above a 0.54 perpetual. The long-short ratio bottoms near 1 and stays above 1.
- Inside the flagged episodes the five-minute slope of futures returns on the change in the top-trader long-short ratio is -0.0326 (t = 3.88). A 0.10 drop in the ratio lines up with +32.6 basis points in that bar. The unflagged slope is -0.0097 (t = 1.62). The window includes the pre-spike bars the flag already required. 19,175 rows is about 200 events at 96 five-minute bars.
- Table 1's basis minimum of -630.25% implies a futures price of -5.30 times spot under their own definition. The taker long-short ratio maxes at 112,789\. Regression event counts, 1,267 down to 1,209, are never lined up with "about 2,000" spikes. No costs, no holdout sample, no adjudication. Of the five horizons, the two-hour result is the one that misses a 0.01 Bonferroni line.
- The usable decision is to skip the perp long when the three signs are already in. A short sized to the trip from 60 down to 10 is sized to the schematic.

## References

- [A New Wolf in Town? Pump-and-Dump Manipulation in Cryptocurrency Markets - Dhawan, Putnins (Review of Finance, 2023)](https://doi.org/10.1093/rof/rfac051?ref=aligrithm.com)
- [Cryptocurrency Pump-and-Dump Schemes - Li, Shin, Wang (Journal of Financial and Quantitative Analysis)](https://doi.org/10.1017/s0022109025000201?ref=aligrithm.com)
- [Spot-Futures Manipulations in Cryptocurrency Markets - Wang, Zhang (ssrn-5125326)](https://papers.ssrn.com/sol3/papers.cfm?abstract%5Fid=5125326&ref=aligrithm.com)