zhu-identificationofstock-2022.pdf (1.03 MB)
Identification of Stock Market Manipulation with Deep Learning
conference contribution
posted on 2022-01-01, 00:00 authored by Jillian Tallboys, Ye ZhuYe Zhu, Sutharshan RajasegararSutharshan RajasegararAnomaly 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.
History
Event
International Conference on Advanced Data Mining and Applications (ADMA)Volume
13087Series
Lecture Notes in Computer Science (LNAI)Pagination
408 - 420Publisher
SpringerLocation
Sydney, AustraliaPlace of publication
Berlin, GermanyPublisher DOI
Start date
2022-02-02End date
2022-02-04ISBN-13
978-3-030-95404-8Language
engPublication classification
E1 Full written paper - refereedTitle of proceedings
Advanced Data Mining and ApplicationsUsage metrics
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