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JUCS
2008

Market Microstructure Patterns Powering Trading and Surveillance Agents

13 years 10 months ago
Market Microstructure Patterns Powering Trading and Surveillance Agents
: Market Surveillance plays important mechanism roles in constructing market models. From data analysis perspective, we view it valuable for smart trading in designing legal and profitable trading strategies and smart regulation in maintaining market integrity, transparency and fairness. The existing trading pattern analysis only focuses on interday data which discloses explicit and high-level market dynamics. In the mean time, the existing market surveillance systems available from large exchanges are facing crucial challenges of diversified, dynamic, distributed and cyber-based misuse, mis-disclosure and misdealing of information, announcement and orders in one market or crossing multiple markets. Therefore, there is a crucial need to develop innovative and workable methods for smart trading and surveillance. To deal with such issues, we propose the innovative concept microstructure pattern analysis and corresponding approaches in this paper. Microstructure pattern analysis studies t...
Longbing Cao, Yuming Ou
Added 13 Dec 2010
Updated 13 Dec 2010
Type Journal
Year 2008
Where JUCS
Authors Longbing Cao, Yuming Ou
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