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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2016 Issue 4, Pages 29–36 (Mi pu979)

Control in the socio-economic systems

Stock market trading behavior modeling to detect aggressive trading strategies

M. N. Kazdagli

University of Texas in Austin

Abstract: The paper presents a novel approach to modeling coordinated traders' behavior in stock market. The main assumption that we rely on is that traders may conspire to manipulate stock prices. The presented algorithm efficiently identifies malicious traders abusing market instruments to gain extra profit. Comparing to other similar algorithms, our algorithm provides much higher accuracy when processing historical market data.

Keywords: securities market, stock prices manipulations, hidden markov model, time series analysis.

UDC: 330.46



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