相关论文: On Detecting Spoofing Strategies in High Frequency…

This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…

Institutions are increasingly relying on machine learning models to identify and alert on abnormal events, such as fraud, cyber attacks and system failures. These alerts often need to be manually investigated by specialists. Given the…

A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…

With growing credit card transaction volumes, the fraud percentages are also rising, including overhead costs for institutions to combat and compensate victims. The use of machine learning into the financial sector permits more effective…

This paper studies how insurers can chose which claims to investigate for fraud. Given a prediction model, typically only claims with the highest predicted propability of being fraudulent are investigated. We argue that this can lead to…

In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…

This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…

Data regulations increasingly enable consumers to switch among market segments, making segmentation an endogenous outcome of strategic interaction. We study a model in which consumers choose segments before a monopolist sets…

Shill bidding occurs when fake bids are introduced into an auction on the seller's behalf in order to artificially inflate the final price. This is typically achieved by the seller having friends bid in her auctions, or the seller controls…

We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…

Illegal insider trading of stocks is based on releasing non-public information (e.g., new product launch, quarterly financial report, acquisition or merger plan) before the information is made public. Detecting illegal insider trading is…

Electronic payment platforms are estimated to process billions oftransactions daily, with the cumulative value of these transactionspotentially reaching into the trillions. Even a minor error within thishigh-volume environment could…

Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…

Equity options are known to be notoriously difficult to price accurately, and even with the development of established mathematical models there are many assumptions that must be made about the underlying processes driving market movements.…

A prevalent market structure in the Internet economy consists of buyers and sellers connected by a platform (such as Amazon or eBay) that acts as an intermediary and keeps a share of the revenue of each transaction. While the optimal…

Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement…

Flocking behavior of multiple agents can be widely observed in nature such as schooling fish and flocking birds. Recent literature has proposed the possibility that flocking is possible even only a small fraction of agents are informed of…

Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer…

Many business applications involve adversarial relationships in which both sides adapt their strategies to optimize their opposing benefits. One of the key characteristics of these applications is the wide range of strategies that an…

This letter studies an emerging wireless communication intervention problem at the physical layer, where a legitimate spoofer aims to spoof a malicious link from Alice to Bob, by replacing Alice's transmitted source message with its target…