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https://doi.org/10.2...arrow_drop_down
https://doi.org/10.2139/ssrn.6...
Article . 2026 . Peer-reviewed
Data sources: Crossref
ZENODO
Preprint . 2026
License: CC BY
Data sources: Datacite
ZENODO
Preprint . 2026
License: CC BY
Data sources: Datacite
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High-Frequency Market Microstructure Analysis using Transformer-Encoder Networks (TEN) and Graph Neural Networks (GNN) for Detecting Algorithmic Spoofing

Authors: Ahmed, Abrar;

High-Frequency Market Microstructure Analysis using Transformer-Encoder Networks (TEN) and Graph Neural Networks (GNN) for Detecting Algorithmic Spoofing

Abstract

Algorithmic spoofing, defined as rapid order placement and cancellation, poses a significant threat to market integrity and remains a primary regulatory focus under MiFID II (Markets in Financial Instruments Directive II). This paper introduces a Transformer-Encoder Network (TEN) architecture designed for the real-time, microsecond-level detection of spoofing within highfrequency Limit Order Book (LOB) data. Unlike traditional RNN (Recurrent Neural Network) and LSTM (Long Short-Term Memory) approaches, TEN leverages self-attention to capture the non-local temporal and cross-sectional dependencies critical for identifying manipulative intent. To address coordinated, multi-asset "conspiracy spoofing," we propose a novel TEN-GNN hybrid model. This architecture incorporates a Graph Neural Network (GNN) driven by a Hawkes Processbased directional causality metric. By replacing standard symmetric correlations with this lead-lag branching ratio, the model moderately improves the detection of inter-asset manipulation. When benchmarked against state-of-the-art 2025/2026 architectures, such as Mamba-2 (SSMs: State Space Models) and RetNet, the proposed framework achieves a superior F1-score of 0.952 in multi-asset scenarios. Validation on historical prosecuted cases, including the 2010 Flash Crash, confirms its efficacy on real-world intent. Furthermore, we integrate SHAP (SHapley Additive exPlanations) and Integrated Gradients for regulatory explainability and employ a decoupled optimization strategy to achieve sub-millisecond latency (600 µs critical-path on FPGA (Field-Programmable Gate Array)+GPU (Graphics Processing Unit) infrastructure with decoupled graph computation; see Table 10 for hardware specifications). This end-to-end framework provides a robust and compliant solution for live high-frequency market surveillance pipelines.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
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