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Detecting Price Manipulation in the Financial Market

Cao, Yi, Li, Yuhua, Coleman, SA, Belatreche, Ammar and McGinnity, TM (2014) Detecting Price Manipulation in the Financial Market. In: IEEE Computational Intelligence for Financial Engineering and Economics 2014, Canary Wharf, London. IEEE. 8 pp. [Conference contribution]

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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 contribution (Paper)
Faculties and Schools:Faculty of Computing & Engineering
Faculty of Computing & Engineering > School of Computing and Intelligent Systems
Research Institutes and Groups:Computer Science Research Institute > Intelligent Systems Research Centre
Computer Science Research Institute
ID Code:30247
Deposited By: Dr Sonya Coleman
Deposited On:24 Sep 2014 15:25
Last Modified:24 Sep 2014 15:25

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