Detecting price manipulation in the financial market
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Cao, Yi, Li, Yuhua, Coleman, Sonya, Belatreche, Ammar and McGinnity, T. M. (2014) Detecting price manipulation in the financial market In: 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 27-28 Mar 2014, London, UK.
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Official URL: https://doi.org/10.1109/CIFEr.2014.6924057
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 show a promising improved performance for effectively detecting such manipulation cases.
| Item Type: | Conference or Workshop Item (Conference Paper) | ||||||||||||||||||
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| Divisions : | Faculty of Arts and Social Sciences > Surrey Business School | ||||||||||||||||||
| Authors : |
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| Date : | 16 October 2014 | ||||||||||||||||||
| Identification Number : | 10.1109/CIFEr.2014.6924057 | ||||||||||||||||||
| Copyright Disclaimer : | Copyright © 2014 by the Institute of Electrical and Electronics Engineers, Inc. All rights reserved. | ||||||||||||||||||
| Uncontrolled Keywords : | Reactive power; Time series analysis; Computational modelling; Monitoring; Adaptation models; Shape; Regulators | ||||||||||||||||||
| Depositing User : | Clive Harris | ||||||||||||||||||
| Date Deposited : | 12 Sep 2017 10:49 | ||||||||||||||||||
| Last Modified : | 12 Sep 2017 12:19 | ||||||||||||||||||
| URI: | http://epubs.surrey.ac.uk/id/eprint/842242 |
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