Fraud Avoidance as Alpha: Multi-Factor Screening in Micro-Cap Cryptocurrency Markets with Temporal Out-of-Sample Evaluation, Walk-Forward Validation, and Concept Drift Analysis
“The dataset comprises 12,847 tokens listed on decentralized exchanges across Ethereum, BSC, and Solana between January 2024 and June 2025, of which 47 to 51 percent are labeled as fraudulent through a combination of onchain forensics, community reports, and manual verification.”
AssetCryptospot crypto
StrategyFactor investing
TechniqueLinear factor model
FrequencyMonthly
Also stated: Alpha, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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