Anomaly Detection for Fraud in Cryptocurrency Time Series

TL;DR

This paper reviews various anomaly detection algorithms for real-time fraud detection in cryptocurrency trading, demonstrating that combining multiple methods can achieve rapid and reliable alerts within seconds.

Contribution

It categorizes and evaluates traditional and new anomaly detection algorithms for real-time cryptocurrency trade monitoring, proposing an effective combined approach.

Findings

Combined algorithms detect anomalies within seconds.

High confidence in real-time fraud alerts.

Effective categorization of detection strategies.

Abstract

Since the inception of Bitcoin in 2009, the market of cryptocurrencies has grown beyond initial expectations as daily trades exceed $10 billion. As industries become automated, the need for an automated fraud detector becomes very apparent. Detecting anomalies in real time prevents potential accidents and economic losses. Anomaly detection in multivariate time series data poses a particular challenge because it requires simultaneous consideration of temporal dependencies and relationships between variables. Identifying an anomaly in real time is not an easy task specifically because of the exact anomalistic behavior they observe. Some points may present pointwise global or local anomalistic behavior, while others may be anomalistic due to their frequency or seasonal behavior or due to a change in the trend. In this paper we suggested working on real time series of trades of Ethereum from specific accounts and surveyed a large variety of different algorithms traditional and new. We categorized them according to the strategy and the anomalistic behavior which they search and showed that when bundling them together to different groups, they can prove to be a good real-time detector with an alarm time of no longer than a few seconds and with very high confidence.