Detecting Wash Trade in the Financial Market

Yi Cao, Yuhua Li, SA Coleman, Ammar Belatreche, TM McGinnity

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

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.
Original languageEnglish
Title of host publicationUnknown Host Publication
PublisherIEEE
Pages85-91
Number of pages7
Publication statusPublished - 27 Mar 2014
EventIEEE Computational Intelligence for Financial Engineering and Economics - Canary Wharf, London
Duration: 27 Mar 2014 → …

Conference

ConferenceIEEE Computational Intelligence for Financial Engineering and Economics
Period27/03/14 → …

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  • Cite this

    Cao, Y., Li, Y., Coleman, SA., Belatreche, A., & McGinnity, TM. (2014). Detecting Wash Trade in the Financial Market. In Unknown Host Publication (pp. 85-91). IEEE.