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Identification of Stock Market Manipulation with Deep Learning

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posted on 07.02.2022, 03:32 by Jillian Tallboys, YE ZHUYE ZHU, Sutharshan Rajasegarar
Anomaly detection is a common and critical data mining task, it seeks to identify observations that differ significantly from others. Anomalies may indicate rare but significant events that require action. Market manipulation is an activity that undermines stock markets worldwide. This paper shares five large real-world, labelled data sets of anomalous stock market data where market manipulation is alleged to have occurred. Cutting edge deep learning techniques are then shown to successfully detect the anomalous periods. An LSTM based method with dynamic thresholding is particularly promising in this domain as it was able to identify contextual local anomalies in the data quickly, taking seconds to score two years of trading data for each stock, which can often be a challenge for deep learning approaches.

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Email Address of Submitting Author

tallboysjillian@gmail.com

Submitting Author's Institution

Deakin University

Submitting Author's Country

Australia

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