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Detecting wash trade in the financial market

Cao, Y, Li, Y, Coleman, SA, Belatreche, A and McGinnity, TM 2014, Detecting wash trade in the financial market , in: The Institute of Electrical and Electronics Engineers (IEEE) : Computational Intelligence for Financial Engineering and Economics Conference, 27-28 March 2014, London.

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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 (Paper)
Schools: Schools > School of Computing, Science and Engineering
Journal or Publication Title: Computational Intelligence for Financial Engineering & Economics (CIFEr), 2104 IEEE Conference
Publisher: The Institute of Electrical and Electronics Engineers (IEEE)
Refereed: Yes
Related URLs:
Funders: Non funded research
Depositing User: Yuhua Li
Date Deposited: 19 Jun 2015 18:26
Last Modified: 05 Apr 2016 18:18
URI: http://usir.salford.ac.uk/id/eprint/33091

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