TY - GEN
T1 - Detecting price manipulation in the financial market
AU - Cao, Yi
AU - Li, Yuhua
AU - Coleman, Sonya
AU - Belatreche, Ammar
AU - McGinnity, T. M.
N1 - Publisher Copyright:
© 2014 IEEE.
PY - 2014/10/14
Y1 - 2014/10/14
N2 - 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 show a promising improved performance for effectively detecting such manipulation cases.
AB - 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 show a promising improved performance for effectively detecting such manipulation cases.
UR - http://www.scopus.com/inward/record.url?scp=84908130423&partnerID=8YFLogxK
U2 - 10.1109/CIFEr.2014.6924057
DO - 10.1109/CIFEr.2014.6924057
M3 - Conference Proceeding
AN - SCOPUS:84908130423
T3 - IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
SP - 77
EP - 84
BT - 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings
A2 - Serguieva, Antoaneta
A2 - Maringer, Dietmar
A2 - Palade, Vasile
A2 - Almeida, Rui Jorge
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014
Y2 - 27 March 2014 through 28 March 2014
ER -