相关论文: On Detecting Spoofing Strategies in High Frequency…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
We analyze sources of error in prediction market forecasts in order to bound the difference between a security's price and the ground truth it estimates. We consider cost-function-based prediction markets in which an automated market maker…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence…
Credit card fraud detection is a very challenging problem because of the specific nature of transaction data and the labeling process. The transaction data is peculiar because they are obtained in a streaming fashion, they are strongly…
This paper proposes an algorithm based on a staged sliding window Transformer architecture to detect abnormal behaviors in the microstructure of the foreign exchange market, focusing on high-frequency EUR/USD trading data. The method…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
Recent anti-spoofing systems focus on spoofing detection, where the task is only to determine whether the test audio is fake. However, there are few studies putting attention to identifying the methods of generating fake speech. Common…
Modern power systems have begun integrating synchrophasor technologies into part of daily operations. Given the amount of solutions offered and the maturity rate of application development it is not a matter of "if" but a matter of "when"…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
Hoeffding's Inequality provides the maximum probability that a series of n draws from a bounded random variable differ from the variable's true expectation u by more than given tolerance t. The random variable is typically the error rate of…
IP spoofing enables reflection and amplification attacks, which cause major threats to the current Internet infrastructure. Detecting IP packets with incorrect source addresses would help to improve the situation. This is easy at the…
High-frequency market making is a liquidity-providing trading strategy that simultaneously generates many bids and asks for a security at ultra-low latency while maintaining a relatively neutral position. The strategy makes a profit from…
Various problems of any credit card fraud detection based on machine learning come from the imbalanced aspect of transaction datasets. Indeed, the number of frauds compared to the number of regular transactions is tiny and has been shown to…
It is widely known that spoofing is a major threat that adversely impacts the reliability and accuracy of GNSS applications. In this study, a crowdsourcing double differential pseudorange spatial (D2SP) random set is constructed and the…
Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's…
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…
Order book imbalance (OBI) - buy orders minus sell orders near the best quote - measures supply-demand imbalance that can move prices. OBI is positively correlated with returns, and some investors try to use it to improve performance. Large…
Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…
This paper studies a new active eavesdropping technique via the so-called spoofing relay attack, which could be launched by the eavesdropper to significantly enhance the information leakage rate from the source over conventional passive…
As online fraudsters invest more resources, including purchasing large pools of fake user accounts and dedicated IPs, fraudulent attacks become less obvious and their detection becomes increasingly challenging. Existing approaches such as…