|
Problemy Upravleniya, 2016, Issue 4, Pages 29–36
(Mi pu979)
|
|
|
|
Control in the socio-economic systems
Stock market trading behavior modeling to detect aggressive trading strategies
M. N. Kazdagli University of Texas in Austin
Abstract:
The paper presents a novel approach to modeling coordinated traders' behavior in stock market. The main assumption that we rely on is that traders may conspire to manipulate stock prices. The presented algorithm efficiently identifies malicious traders abusing market instruments to gain extra profit. Comparing to other similar algorithms, our algorithm provides much higher accuracy when processing historical market data.
Keywords:
securities market, stock prices manipulations, hidden markov model, time series analysis.
Citation:
M. N. Kazdagli, “Stock market trading behavior modeling to detect aggressive trading strategies”, Probl. Upr., 2016, no. 4, 29–36
Linking options:
https://www.mathnet.ru/eng/pu979 https://www.mathnet.ru/eng/pu/v4/p29
|
Statistics & downloads: |
Abstract page: | 332 | Full-text PDF : | 265 | References: | 34 | First page: | 11 |
|