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Detecting Wash Trade in the Financial Market

Cao, Yi, Li, Yuhua, Coleman, SA, Belatreche, Ammar and McGinnity, TM (2014) Detecting Wash Trade in the Financial Market. In: IEEE Computational Intelligence for Financial Engineering and Economics, Canary Wharf, London. IEEE. 7 pp. [Conference contribution]

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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 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:30248
Deposited By: Dr Sonya Coleman
Deposited On:24 Sep 2014 15:26
Last Modified:24 Sep 2014 15:26

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