Aggregate Confusion In Crypto Market Data
Prof. Gustavo Schwenkler1, Prof. Aakash Shah2, Prof. Darren Yang2
1Santa Clara University, United States of America; 2Indicia Labs, United States of America
The quality of cryptocurrency market data is critical for academic research and financial applications, yet the topic remains understudied. We analyze data from leading vendors and document pervasive mislabeling, measurement errors, and discrepancies in reported market metrics. To address these issues, we propose a novel aggregation methodology that achieves asymptotic accuracy by identifying unreliable data instances. We also introduce a data quality grading system, offering practical guidance for data consumers. Our findings underscore the risks of relying on a single provider. They highlight a possible need for regulation in the market for crypto data.