Y Cao
Detecting wash trade in the financial market
Cao, Y; Li, Y; Coleman, SA; Belatreche, A; McGinnity, TM
Authors
Y Li
SA Coleman
A Belatreche
TM McGinnity
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.
Citation
Cao, Y., Li, Y., Coleman, S., Belatreche, A., & McGinnity, T. (2014, March). Detecting wash trade in the financial market. Presented at The Institute of Electrical and Electronics Engineers (IEEE) : Computational Intelligence for Financial Engineering and Economics Conference, London
Presentation Conference Type | Other |
---|---|
Conference Name | The Institute of Electrical and Electronics Engineers (IEEE) : Computational Intelligence for Financial Engineering and Economics Conference |
Conference Location | London |
Start Date | Mar 27, 2014 |
End Date | Mar 28, 2014 |
Publication Date | Mar 27, 2014 |
Deposit Date | Jun 19, 2015 |
Publisher | Institute of Electrical and Electronics Engineers |
Publisher URL | http://dx.doi.org/10.1109/CIFEr.2014.6924058 |
Related Public URLs | http://ieeexplore.ieee.org/xpl/mostRecentIssue.jsp?punumber=6901616 |
Additional Information | Event Type : Conference |
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