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

1 Citation (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.
LanguageEnglish
Title of host publicationUnknown Host Publication
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 → …

Fingerprint

Financial markets
Trading behavior
Integrity
Network topology
Experiment
Evaluation
Clique
Traders
Capital markets
Functioning
Trading volume

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)
Cao, Yi ; Li, Yuhua ; Coleman, SA ; Belatreche, Ammar ; McGinnity, TM. / Detecting Wash Trade in the Financial Market. Unknown Host Publication. 2014. pp. 85-91
@inproceedings{ba0f718507e041c885678178f7f2f809,
title = "Detecting Wash Trade in the Financial Market",
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.",
author = "Yi Cao and Yuhua Li and SA Coleman and Ammar Belatreche and TM McGinnity",
year = "2014",
month = "3",
day = "27",
language = "English",
pages = "85--91",
booktitle = "Unknown Host Publication",

}

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 Computational Intelligence for Financial Engineering and Economics, 27/03/14.

Detecting Wash Trade in the Financial Market. / Cao, Yi; Li, Yuhua; Coleman, SA; Belatreche, Ammar; McGinnity, TM.

Unknown Host Publication. 2014. p. 85-91.

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

TY - GEN

T1 - Detecting Wash Trade in the Financial Market

AU - Cao, Yi

AU - Li, Yuhua

AU - Coleman, SA

AU - Belatreche, Ammar

AU - McGinnity, TM

PY - 2014/3/27

Y1 - 2014/3/27

N2 - 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.

AB - 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.

M3 - Conference contribution

SP - 85

EP - 91

BT - Unknown Host Publication

ER -

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