BIGDATA: IA: Collaborative Research: Detecting Financial Market Manipulation: An Integrated Data- and Model-Driven Approach

金融股票市场操纵者可以通过误导投资者对市场状况的了解而非法获利。例如，在最近的几起事件中，操纵者通过插入欺骗投资者的证券供求的指令成功地欺骗了市场。这种行为随着算法交易的流行而增加。它通过降低资本配置的效率，对经济造成重大损害，更严重的是，它有可能危及金融市场的完整性和稳定性。欺骗很难被检测到，因为潜在的行为既有合法的目的，也有邪恶的目的。该项目将采用创新的方法来提高对市场操纵行为的检测和威慑能力，并将数据驱动的方法（包括用正常背景活动校准检测器和从增强的时间序列中提取操纵特征）与基于模型的技术相结合，以根据市场微观结构的战略分析来描述操纵策略。其关键思想是使用模拟和优化来生成成功的操纵策略，用于从可用的市场数据流中校准的交易模型。然后，这些策略将被注入交易模型，以产生包括标记操纵活动的增强数据流。标记活动使机器学习技术能够应用于提取欺骗活动的签名，这些签名可用于构建监视和审计算法。本项目中提出的方法与市场设计和监管政策指导相结合，有助于减少能力日益增强的市场操纵者的威胁。

Financial stock market manipulators can profit illegally by misleading investors about market conditions. For example, in several recent incidents, manipulators successfully spoofed markets by inserting orders that deceived investors about supply or demand for the security. This kind of behavior has increased with the prevalence of algorithmic trading. It imposes substantial harm to the economy, by reducing the efficiency of capital allocation, and more seriously, threatening to compromise the integrity and stability of financial markets. Spoofing is difficult to detect because the underlying actions have legitimate purposes as well as nefarious ones. This project will apply innovative approaches to improve detection and deterrence of market manipulation.The project will integrate data-driven methods, including calibration of detectors with normal background activity and extraction of manipulation signatures from enhanced time series, with model-based techniques for characterizing manipulation strategies based on strategic analysis of market microstructure. The key idea is to use simulation and optimization to generate successful manipulation strategies for trading models calibrated from available market data streams. These strategies will then be injected into the trading models, to produce enhanced data streams that include labeled manipulation activity. Having labeled activity enables the application of machine learning techniques to extract signatures of spoofing activity, which can be used to construct surveillance and audit algorithms. Methods produced in this project in conjunction with guidance on market design and regulation policy can contribute to reducing the threat from increasingly capable market manipulators.