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 proceedingConference 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 languageEnglish
Title of host publication2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings
EditorsRui Jorge Almeida, Dietmar Maringer, Vasile Palade, Antoaneta Serguieva
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages85-91
Number of pages7
ISBN (Electronic)9781479923809
DOIs
Publication statusPublished - 14 Oct 2014
Event2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014 - London, United Kingdom
Duration: 27 Mar 201428 Mar 2014

Publication series

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

Conference

Conference2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014
Country/TerritoryUnited Kingdom
CityLondon
Period27/03/1428/03/14

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