Cao, Y, Li, Y, Coleman, SA, Belatreche, A and McGinnity, TM 2014, Detecting price manipulation 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.
Full text not available from this repository. (Request a copy)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 (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: | 08 Oct 2018 11:23 |
| URI: | http://usir.salford.ac.uk/id/eprint/33090 |
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