publication . Conference object . 2014

Detecting price manipulation in the financial market

Sonya Coleman; Ammar Belatreche; TM McGinnity; Yi Cao; Yuhua Li;
Open Access
  • Published: 16 Oct 2014
  • Publisher: IEEE
  • Country: United Kingdom
Abstract
Market abuse has attracted much attention from financial regulators around the world but it is difficult to fully prevent. One of the reasons is the lack of thoroughly studies of the market abuse strategies and the corresponding effective market abuse approaches. In this paper, the strategies of reported price manipulation cases are analysed as well as the related empirical studies. A transformation is then defined to convert the time-varying financial trading data into pseudo-stationary time series, where machine learning algorithms can be easily applied to the detection of the price manipulation. The evaluation experiments conducted on four stocks from NASDAQ ...
Subjects
free text keywords: Market data, Financial economics, Market microstructure, Stock (geology), Economics, Empirical research, Mark to model, Industrial organization, Market abuse, Financial market, Time series
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