# Fraud Detection in Cryptocurrency Markets with Spatio-Temporal Graph Neural Networks

arXiv: https://arxiv.org/abs/2604.24590 · HTML: https://mlsanity.com/paper/2604.24590/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 18 of its 37 references that are in the map.
- First posted on arXiv 27 Apr 2026.

## Builds on (most cited first, 18 of 18)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Semi-Supervised Classification with Graph Convolutional Networks](https://mlsanity.com/paper/1609.02907/) (2016)
- [Graph Attention Networks](https://mlsanity.com/paper/1710.10903/) (2017)
- [XGBoost: A Scalable Tree Boosting System](https://mlsanity.com/paper/1603.02754/) (2016)
- [How Powerful are Graph Neural Networks?](https://mlsanity.com/paper/1810.00826/) (2018)
- [Spatio-Temporal Graph Convolutional Networks: A Deep Learning Framework for Traffic Forecasting](https://mlsanity.com/paper/1709.04875/) (2017)
- [Graph WaveNet for Deep Spatial-Temporal Graph Modeling](https://mlsanity.com/paper/1906.00121/) (2019)
- [Connecting the Dots: Multivariate Time Series Forecasting with Graph Neural Networks](https://mlsanity.com/paper/2005.11650/) (2020)
- [Masked Label Prediction: Unified Message Passing Model for Semi-Supervised Classification](https://mlsanity.com/paper/2009.03509/) (2020)
- [Enhancing Graph Neural Network-based Fraud Detectors against Camouflaged Fraudsters](https://mlsanity.com/paper/2008.08692/) (2020)
- [A Comprehensive Survey on Graph Anomaly Detection with Deep Learning](https://mlsanity.com/paper/2106.07178/) (2021)
- [Graph-based Anomaly Detection and Description: A Survey](https://mlsanity.com/paper/1404.4679/) (2014)
- [Discrete Graph Structure Learning for Forecasting Multiple Time Series](https://mlsanity.com/paper/2101.06861/) (2021)
- [Spatio-Temporal Graph Neural Networks for Predictive Learning in Urban Computing: A Survey](https://mlsanity.com/paper/2303.14483/) (2023)
- [Exploring Graph Neural Networks for Stock Market Predictions with Rolling Window Analysis](https://mlsanity.com/paper/1909.10660/) (2019)
- [The Anatomy of a Cryptocurrency Pump-and-Dump Scheme](https://mlsanity.com/paper/1811.10109/) (2018)
- [Pump and Dumps in the Bitcoin Era: Real Time Detection of Cryptocurrency Market Manipulations](https://mlsanity.com/paper/2005.06610/) (2020)
- [Anomaly Detection in Global Financial Markets with Graph Neural Networks and Nonextensive Entropy](https://mlsanity.com/paper/2308.02914/) (2023)

## Abstract (arXiv)

Technological advancements in cryptocurrency markets have increased accessibility for investors, but concurrently exposed them to the risks of market manipulations. Existing fraud detection mechanisms typically rely on machine learning methods that treat each financial asset (i.e., token) and its related transactions independently. However, market manipulation strategies are rarely isolated events, but are rather characterized by coordination, repetition, and frequent transfers among related assets. This suggests that relational structure constitutes an integral component of the signal and can be effectively represented through graphical means. In this paper, we propose three graph construction methods that rely on aggregated hourly market data. The proposed graphs are processed by a unified spatio-temporal Graph Neural Network (GNN) architecture that combines attention-based spatial aggregation with temporal Transformer encoding. We evaluate our methodology on a real-world dataset comprised of pump-and-dump schemes in cryptocurrency markets, spanning a period of over three years. Our comparative results showcase that our graph-based models achieve significant improvements over standard machine learning baselines in detecting anomalous events. Our work highlights that learned market connectivity provides substantial gains for detecting coordinated market manipulation schemes.