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Developing An Effective Model For Detecting Trade Based Market Manipulation
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Book Synopsis Developing an Effective Model for Detecting Trade-Based Market Manipulation by : Jose Joy Thoppan
Download or read book Developing an Effective Model for Detecting Trade-Based Market Manipulation written by Jose Joy Thoppan and published by Emerald Group Publishing. This book was released on 2021-05-05 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developing an Effective Model for Detecting Trade-Based Market Manipulation determines an appropriate model to help identify stocks witnessing activities that are indicative of potential manipulation through three separate but related studies.
Book Synopsis Developing an Effective Model for Detecting Trade-Based Market Manipulation by : Jose Joy Thoppan
Download or read book Developing an Effective Model for Detecting Trade-Based Market Manipulation written by Jose Joy Thoppan and published by Emerald Group Publishing. This book was released on 2021-05-05 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developing an Effective Model for Detecting Trade-Based Market Manipulation determines an appropriate model to help identify stocks witnessing activities that are indicative of potential manipulation through three separate but related studies.
Book Synopsis Stock Market Manipulation Detection Using Continuous Wavelet Transform & Machine Learning Classification by : Sarah Youssef
Download or read book Stock Market Manipulation Detection Using Continuous Wavelet Transform & Machine Learning Classification written by Sarah Youssef and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Stock market manipulation detection is important for both investors and regulators. Being able to detect stock manipulation and preventing it gives investors the confidence in the market fairness and integrity. It also helps maintaining liquidity of the stocks and market efficiency. Implementing data mining algorithms in manipulation detection is a relatively recent technique but in the past few years there has been an increasing interest in it's applications in this domain. The benefit of monitoring manipulative trade behavior is that it can be implemented on live feed of stock data, which saves a lot of time in detecting stock price manipulation. This research implements machine learning algorithms in detecting trade manipulations where trade behaviors artificially impact the National Best Bid and Offer (NBBO) of traded stocks. Research methodology implemented is based on feature extraction using signal analysis, taking advantage of the similarity between physical signals measured by machines and raw financial data. Accordingly, Continuous Wavelet Transform (CWT) is applied on actual manipulation data for feature extraction, Principal Component Analysis (PCA) and factor analysis are used for dimensionality reduction and then Machine Learning Classifiers are trained and tested. Tick Bid/Ask Price and volume data of actual 15 manipulation cases published by the Security Exchange Center (SEC) was extracted from an online interface and labeled accordingly. This data was then used to train, and test 3 different classification models (XGBoost, KNN & SVM) and the outcome was compared accordingly. Results showed that introducing continuous wavelet transform enhances model accuracy, it increased precision results tremendously, while reducing recall values slightly. Adding PCA, reduced run time greatly, yet reduced the quality of some models prediction. Out of the three classifiers XGboost & KNN are showing the highest performance.
Book Synopsis The Little Book of Market Manipulation by : Gregory J Durston
Download or read book The Little Book of Market Manipulation written by Gregory J Durston and published by Waterside Press. This book was released on 2020-01-29 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market manipulation comes in many forms. For a wrong that some say started life with groups of men dressed in Bourbon uniforms spreading false information in cod French accents, the speed of change has accelerated dramatically in the modern era, via the Internet, novel forms of electronic communication, ultra-fast computer-generated trading, new types of financial instruments, and increased globalisation. This means that opportunities for carrying-out new forms of manipulation now exist on an exponential scale. Looks at the mechanisms, criminal and civil, to confront market manipulation, its enforcement regimes, legal and evidential rules and potential loopholes. Shows how every individual involved in market transactions can fall foul of the law if they do not ensure integrity in their dealings. The ‘tricks’ used by those seeking to benefit from this special category of fraud and the relationship of dedicated provisions to the general law is outlined, with key statutory provisions set out in an appendix. A valuable accompaniment to The Little Book of Insider Dealing (Waterside Press, 2018). An invaluable pocket guide and law primer. An essential guide for investors. With practical examples and decided cases. An up-to-date treatment of a fast-moving topic. Describes both criminal and regulatory regimes. Contents include Forms of Market Manipulation; Suspicion, Identification, Detection and Investigation; Obligations and Enforcement; Criminal Offences, Defences and Punishment; Regulatory Provisions and Penalties; Evidence; Acronyms; Select Bibliography; Key Statutory Provisions and Index.
Book Synopsis Manipulations in Prediction Markets by : Jan Schröder
Download or read book Manipulations in Prediction Markets written by Jan Schröder and published by KIT Scientific Publishing. This book was released on 2009 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fraud and manipulation in prediction markets are systematic results of incentive incompatibility, which, if present, have to be detected and balanced. ""Manipulations in Prediction Markets"" gives a critical insight into manipulations that are most likely to occur in prediction markets. In a general approach the book discusses the issue of incentives in markets and the breakdown of the incentive system. On this basis a new way of detecting irregular trading behaviour is introduced.
Book Synopsis Machine Learning for Algorithmic Trading by : Stefan Jansen
Download or read book Machine Learning for Algorithmic Trading written by Stefan Jansen and published by Packt Publishing Ltd. This book was released on 2020-07-31 with total page 822 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage machine learning to design and back-test automated trading strategies for real-world markets using pandas, TA-Lib, scikit-learn, LightGBM, SpaCy, Gensim, TensorFlow 2, Zipline, backtrader, Alphalens, and pyfolio. Purchase of the print or Kindle book includes a free eBook in the PDF format. Key FeaturesDesign, train, and evaluate machine learning algorithms that underpin automated trading strategiesCreate a research and strategy development process to apply predictive modeling to trading decisionsLeverage NLP and deep learning to extract tradeable signals from market and alternative dataBook Description The explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This revised and expanded second edition enables you to build and evaluate sophisticated supervised, unsupervised, and reinforcement learning models. This book introduces end-to-end machine learning for the trading workflow, from the idea and feature engineering to model optimization, strategy design, and backtesting. It illustrates this by using examples ranging from linear models and tree-based ensembles to deep-learning techniques from cutting edge research. This edition shows how to work with market, fundamental, and alternative data, such as tick data, minute and daily bars, SEC filings, earnings call transcripts, financial news, or satellite images to generate tradeable signals. It illustrates how to engineer financial features or alpha factors that enable an ML model to predict returns from price data for US and international stocks and ETFs. It also shows how to assess the signal content of new features using Alphalens and SHAP values and includes a new appendix with over one hundred alpha factor examples. By the end, you will be proficient in translating ML model predictions into a trading strategy that operates at daily or intraday horizons, and in evaluating its performance. What you will learnLeverage market, fundamental, and alternative text and image dataResearch and evaluate alpha factors using statistics, Alphalens, and SHAP valuesImplement machine learning techniques to solve investment and trading problemsBacktest and evaluate trading strategies based on machine learning using Zipline and BacktraderOptimize portfolio risk and performance analysis using pandas, NumPy, and pyfolioCreate a pairs trading strategy based on cointegration for US equities and ETFsTrain a gradient boosting model to predict intraday returns using AlgoSeek's high-quality trades and quotes dataWho this book is for If you are a data analyst, data scientist, Python developer, investment analyst, or portfolio manager interested in getting hands-on machine learning knowledge for trading, this book is for you. This book is for you if you want to learn how to extract value from a diverse set of data sources using machine learning to design your own systematic trading strategies. Some understanding of Python and machine learning techniques is required.
Book Synopsis The Detection of Market Abuse on Financial Markets by : Marcello Minenna
Download or read book The Detection of Market Abuse on Financial Markets written by Marcello Minenna and published by . This book was released on 2012 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: In every country with legislation on market abuse, i.e. on market manipulation and insider trading, the repression of these offences is entrusted to supervisory and judicial authorities with powers that vary with the legislation in question. A procedure permitting cases of market abuse to be detected in real time is a need that is strongly felt by financial market supervisory authorities. Such a procedure consists basically in the analysis of the transactions carried out on the market by traders in order to detect anomalies that could be symptomatic of market abuse. The aim of this paper is to develop, through recourse to probability theory, a method for identifying cases of market abuse more effectively.
Book Synopsis The Economics, Law, and Public Policy of Market Power Manipulation by : S. Craig Pirrong
Download or read book The Economics, Law, and Public Policy of Market Power Manipulation written by S. Craig Pirrong and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: Deterrence of market manipulation is central to the entire regulatory and legal framework governing the operation of American commodity futures markets. However, despite all of the regulatory, scholarly, and legal scrutiny of market manipulation, the subject is widely misunderstood. Federal commodity and securities laws prohibit manipulation, but do not define it. Scholarly research has failed to analyze adequately the causes or effects of manipulation, and the relevant judicial decisions are confused, confusing, and contradictory. The aim of this book is to illuminate the process of market manipulation by presenting a rigorous economic analysis of this phenomenon, including the conditions that facilitate it and its effects on market users and others. The conclusions of this analysis are used to examine critically some legal and regulatory anti-manipulation policies. The Economics, Law and Public Policy of Market Power Manipulation concludes with a set of robust and realistic tests that regulators and jurists can apply to detect and deter manipulation.
Book Synopsis Geo-Spatial Knowledge and Intelligence by : Hanning Yuan
Download or read book Geo-Spatial Knowledge and Intelligence written by Hanning Yuan and published by Springer. This book was released on 2017-03-02 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two volume proceedings of CCIS 698 and 699 constitutes revised selected papers from the 4th International Conference on Geo-Informatics in Resource Management and Sustainable Ecosystem, GRMSE 2016, held in Hong Kong, China, in November 2016. The total of 118 papers presented in these proceedings were carefully reviewed and selected from 311 submissions. The contributions were organized in topical sections named: smart city in resource management and sustainable ecosystem; spatial data acquisition through RS and GIS in resource management and sustainable ecosystem; ecological and environmental data processing and management; advanced geospatial model and analysis for understanding ecological and environmental processes; applications of geo-informatics in resource management and sustainable ecosystem.
Book Synopsis Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance by : El Bachir Boukherouaa
Download or read book Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.
Book Synopsis Redefining Trade-Based Market Manipulation by : Matthijs Nelemans
Download or read book Redefining Trade-Based Market Manipulation written by Matthijs Nelemans and published by . This book was released on 2008 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trade-based market manipulation, which is usually described as trading shares to initiate a price change or to cause an artificial price, has received wide attention in policy and academic discussions, although the behavior is still poorly defined in both legal and economic literature. This Article contributes to an understanding of manipulation by providing a precise definition. A differentiation is made between supported and unsupported price pressure. Supported price pressure contributes to price efficiency, while unsupported price pressure creates societal costs. Trade-based market manipulation, thus, should be defined as exercising unsupported price pressure. The analysis sheds light on the long-standing debate about the possibility of formulating an objective definition of manipulation, refuting the assertion that a mens rea element is necessary. Existing prohibitions should be interpreted in line with the 'unsupported price pressure' -standard, that is allow supported price pressure but bar unsupported price pressure.
Book Synopsis Corruption and Fraud in Financial Markets by : Carol Alexander
Download or read book Corruption and Fraud in Financial Markets written by Carol Alexander and published by John Wiley & Sons. This book was released on 2020-06-22 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Identifying malpractice and misconduct should be top priority for financial risk managers today Corruption and Fraud in Financial Markets identifies potential issues surrounding all types of fraud, misconduct, price/volume manipulation and other forms of malpractice. Chapters cover detection, prevention and regulation of corruption and fraud within different financial markets. Written by experts at the forefront of finance and risk management, this book details the many practices that bring potentially devastating consequences, including insider trading, bribery, false disclosure, frontrunning, options backdating, and improper execution or broker-agency relationships. Informed but corrupt traders manipulate prices in dark pools run by investment banks, using anonymous deals to move prices in their own favour, extracting value from ordinary investors time and time again. Strategies such as wash, ladder and spoofing trades are rife, even on regulated exchanges – and in unregulated cryptocurrency exchanges one can even see these manipulative quotes happening real-time in the limit order book. More generally, financial market misconduct and fraud affects about 15 percent of publicly listed companies each year and the resulting fines can devastate an organisation's budget and initiate a tailspin from which it may never recover. This book gives you a deeper understanding of all these issues to help prevent you and your company from falling victim to unethical practices. Learn about the different types of corruption and fraud and where they may be hiding in your organisation Identify improper relationships and conflicts of interest before they become a problem Understand the regulations surrounding market misconduct, and how they affect your firm Prevent budget-breaking fines and other potentially catastrophic consequences Since the LIBOR scandal, many major banks have been fined billions of dollars for manipulation of prices, exchange rates and interest rates. Headline cases aside, misconduct and fraud is uncomfortably prevalent in a large number of financial firms; it can exist in a wide variety of forms, with practices in multiple departments, making self-governance complex. Corruption and Fraud in Financial Markets is a comprehensive guide to identifying and stopping potential problems before they reach the level of finable misconduct.
Book Synopsis Trading and Electronic Markets: What Investment Professionals Need to Know by : Larry Harris
Download or read book Trading and Electronic Markets: What Investment Professionals Need to Know written by Larry Harris and published by CFA Institute Research Foundation. This book was released on 2015-10-19 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.
Book Synopsis Regulating Market Manipulation Through an Understanding of Price Creation by : David C. Donald
Download or read book Regulating Market Manipulation Through an Understanding of Price Creation written by David C. Donald and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current rules on market manipulation ignore the existing and rapidly growing body of scholarship on how securities prices are formed in markets. These rules are primarily reactive, and depend on vague and difficult measures such as the “artificiality” of a resulting market price or the trader's intention. Some trades, like matched and wash sales, have indeed been singled out since the 1930's for special scrutiny, but this list has never been updated. Through even a cursory review of existing literature in financial economics and market microstructure, lawmakers and regulators would be able to know the times, the market conditions, and the types of securities that facilitate and give greatest incentive for trade-based market manipulation, as well as the manipulative techniques best adapted to each, specific situation. Rapid advance in the technological prowess of some institutional traders has lent urgency to the task of updating rules on market manipulation. The playing field between high-powered and retail traders has become so uneven that soon our original understanding of securities markets will be eclipsed. Lawmakers and regulators should take market manipulation seriously and develop presumptions triggered by behavior that is shown to display a very high probability of manipulative intent. This paper presents the parameters along which such presumptions can be formulated.
Book Synopsis Trading and Exchanges by : Larry Harris
Download or read book Trading and Exchanges written by Larry Harris and published by OUP USA. This book was released on 2003 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Book Synopsis Liquidity, Markets and Trading in Action by : Deniz Ozenbas
Download or read book Liquidity, Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Book Synopsis Trade-Based Money Laundering by : John A. Cassara
Download or read book Trade-Based Money Laundering written by John A. Cassara and published by John Wiley & Sons. This book was released on 2015-11-09 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uncover the financial fraud that funds terrorist organizations Trade-Based Money Laundering is an authoritative examination of this burgeoning phenomenon, now coming under scrutiny in the War on Terror. This book walks you through the signs and patterns of trade-based money laundering (TBML) to help you recognize it when it occurs, and shows you how data and analytics can be used to detect it. You'll learn the common value transfer techniques including invoice fraud, over-and-under invoicing, and misrepresentation, and learn why analytic detection systems have yet to be implemented despite the existence of copious data. Case studies from around the world highlight the real-life implications of the concepts and processes presented in the text, giving you a first-hand view of the mechanisms at work inside this expanding illegal market. Trade-based money laundering uses trade to convert large quantities of illicit cash into less conspicuous assets or commodities to evade financial transparency laws and regulations. As an ideal funding mechanism for terrorist groups, the practice is getting more attention even as it increases in scale and spread. This book takes you deep inside TBML to better arm you against its occurrence. Learn the typical value transfer techniques of TBML Examine case studies detailing international examples Discover why institutions have failed to implement detection systems Explore ways in which analytics can identify TBML According to the U.S. State Department, TBML has reached staggering proportions in recent years, and is considered by many to be the next frontier of international money laundering enforcement. Trade-Based Money Laundering gives you a battle plan, with expert insight and real-world guidance.
