Related papers: Can Insider Trading Be Committed Without Trading?
In this work, we study how to securely evaluate the value of trading data without requiring a trusted third party. We focus on the important machine learning task of classification. This leads us to propose a provably secure four-round…
We present a cross-market algorithmic trading system that balances execution quality with rigorous compliance enforcement. The architecture comprises a high-level planner, a reinforcement learning execution agent, and an independent…
Money laundering is a crime that makes it possible to finance other crimes, for this reason, it is important for criminal organizations and their combat is prioritized by nations around the world. The anti-money laundering process has not…
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…
We study a Black-Scholes market with a finite time horizon and two investors: an honest and an insider trader. We analyze it with anticipating stochastic calculus in two steps. First, we recover the classical result on portfolio…
An operation is called covert if it conceals the identity of the actor; it is called clandestine if the very fact that the operation is conducted is concealed. The paper proposes a formal semantics of clandestine operations and introduces a…
Wash trading is a form of market manipulation where the same entity sells an asset to themselves to drive up market prices, launder money under the cover of a legitimate transaction, or claim a tax loss without losing ownership of an asset.…
The seller of an asset has the option to buy hard information about the value of the asset from an intermediary. The seller can then disclose the acquired information before selling the asset in a competitive market. We study how the…
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial…
We consider the problem of optimal inside portfolio $\pi(t)$ in a financial market with a corresponding wealth process $X(t)=X^{\pi}(t)$ modelled by \begin{align}\label{eq0.1} \begin{cases} dX(t)&=\pi(t)X(t)[\alpha(t)dt+\beta(t)dB(t)];…
Conventional security solutions are insufficient to address the urgent cybersecurity challenge posed by insider attacks. While a great deal of research has been done in this area, our systematic literature analysis attempts to give readers…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
Many countries have adopted negative interest rate policies with tiering remuneration, which allows for exemption from negative rates. This practice has led to higher interbank trading volumes, with market rates ranging between zero and the…
We consider a market where a seller sells multiple units of a commodity in a social network. Each node/buyer in the social network can only directly communicate with her neighbours, i.e. the seller can only sell the commodity to her…
An insider is defined as a team member who covertly deviates from the team's optimal collaborative control strategy in pursuit of a private objective, while maintaining an outward appearance of cooperation. Such insider threats can severely…
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member…
This study investigates the prevention of market manipulation using a price-impact model of financial market trading as a linear system. First, I define a trading game between speculators such that they implement a manipulation trading…
Simulation of the trading activity based on the implementation of the book.
A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sales strategies is considered. We show that wealth processes using continuous trading can be approximated very…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…