Detecting wash trade in the financial market

Yi Cao; Yuhua Li; Sonya Coleman; Ammar Belatreche; T. M. McGinnity

doi:10.1109/CIFEr.2014.6924058

Detecting wash trade in the financial market

Yi Cao^*, Yuhua Li, Sonya Coleman, Ammar Belatreche, T. M. McGinnity

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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 language	English
Title of host publication	2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings
Editors	Rui Jorge Almeida, Dietmar Maringer, Vasile Palade, Antoaneta Serguieva
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	85-91
Number of pages	7
ISBN (Electronic)	9781479923809
DOIs	https://doi.org/10.1109/CIFEr.2014.6924058
Publication status	Published - 14 Oct 2014
Event	2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014 - London, United Kingdom Duration: 27 Mar 2014 → 28 Mar 2014

Publication series

Name	IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Conference

Conference	2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014
Country/Territory	United Kingdom
City	London
Period	27/03/14 → 28/03/14

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10.1109/CIFEr.2014.6924058

Cite this

Cao, Y., Li, Y., Coleman, S., Belatreche, A., & McGinnity, T. M. (2014). Detecting wash trade in the financial market. In R. J. Almeida, D. Maringer, V. Palade, & A. Serguieva (Eds.), 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings (pp. 85-91). [6924058] (IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CIFEr.2014.6924058

Cao, Yi ; Li, Yuhua ; Coleman, Sonya ; Belatreche, Ammar ; McGinnity, T. M. / Detecting wash trade in the financial market. 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings. editor / Rui Jorge Almeida ; Dietmar Maringer ; Vasile Palade ; Antoaneta Serguieva. Institute of Electrical and Electronics Engineers Inc., 2014. pp. 85-91 (IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)).

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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 Sonya Coleman and Ammar Belatreche and McGinnity, {T. M.}",

year = "2014",

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language = "English",

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booktitle = "2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings",

address = "United States",

note = "2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014 ; Conference date: 27-03-2014 Through 28-03-2014",

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Cao, Y, Li, Y, Coleman, S, Belatreche, A & McGinnity, TM 2014, Detecting wash trade in the financial market. in RJ Almeida, D Maringer, V Palade & A Serguieva (eds), 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings., 6924058, IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr), Institute of Electrical and Electronics Engineers Inc., pp. 85-91, 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014, London, United Kingdom, 27/03/14. https://doi.org/10.1109/CIFEr.2014.6924058

Detecting wash trade in the financial market. / Cao, Yi; Li, Yuhua; Coleman, Sonya; Belatreche, Ammar; McGinnity, T. M.

2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings. ed. / Rui Jorge Almeida; Dietmar Maringer; Vasile Palade; Antoaneta Serguieva. Institute of Electrical and Electronics Engineers Inc., 2014. p. 85-91 6924058 (IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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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.

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Cao Y, Li Y, Coleman S, Belatreche A, McGinnity TM. Detecting wash trade in the financial market. In Almeida RJ, Maringer D, Palade V, Serguieva A, editors, 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings. Institute of Electrical and Electronics Engineers Inc. 2014. p. 85-91. 6924058. (IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)). https://doi.org/10.1109/CIFEr.2014.6924058

Detecting wash trade in the financial market

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Yi Cao

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Detecting wash trade in the financial market

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Yi Cao

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