Detecting wash trade in the financial market
Tools
Tools
Tools
Cao, Yi, Li, Yuhua, Coleman, Sonya, Belatreche, Ammar and McGinnity, T. M. (2014) Detecting wash trade in the financial market In: 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 27-28 Mar 2014, London, UK.
|
Text
Detecting Wash Trade in the Financial Market.pdf - Version of Record Download (318kB) | Preview |
Official URL: https://doi.org/10.1109/CIFEr.2014.6924058
Abstract
Wash trade refers to the activities of traders who utilise deliberately designed collusive transactions to increase the trading volumes for creating active market impression. Wash trade can be damaging to the proper functioning and integrity of capital markets. Existing work focuses on collusive clique detections based on certain assumptions of trading behaviours. Effective approaches for analysing and detecting wash trade in a real-life market have yet to be developed. This paper proposes a new analysis approach for abstracting the basic structures of wash trade based on the network topology theory and a novel approach for detecting wash trade activities. The evaluation experiments conducted on four NASDAQ stocks suggest that wash trade actions can be effectively identified based on the proposed algorithm.
| Item Type: | Conference or Workshop Item (Conference Paper) | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Divisions : | Faculty of Arts and Social Sciences > Surrey Business School | ||||||||||||||||||
| Authors : |
|
||||||||||||||||||
| Date : | 16 October 2014 | ||||||||||||||||||
| Identification Number : | 10.1109/CIFEr.2014.6924058 | ||||||||||||||||||
| Copyright Disclaimer : | Copyright © 2014 by the Institute of Electrical and Electronics Engineers, Inc. All rights reserved. | ||||||||||||||||||
| Uncontrolled Keywords : | Topology; Network topology; Bidirectional control; Equations; Algorithm design and analysis; Joining processes; Mathematical model | ||||||||||||||||||
| Depositing User : | Clive Harris | ||||||||||||||||||
| Date Deposited : | 12 Sep 2017 12:22 | ||||||||||||||||||
| Last Modified : | 12 Sep 2017 12:22 | ||||||||||||||||||
| URI: | http://epubs.surrey.ac.uk/id/eprint/842245 |
Actions (login required)
 |
View Item |
Downloads
Downloads per month over past year