图 书 馆
在基于组的操纵交易行为中检测异常耦合序列和序列变化Detecting Abnormal Coupled Sequences and Sequence Changes in Group-based Manipulative Trading Behaviors |
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| 课程网址: | http://videolectures.net/kdd2010_cao_dacss/ |
| 主讲教师: | Longbing Cao |
| 开课单位: | 悉尼科技大学 |
| 开课时间: | 2010-10-01 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | In capital market surveillance, an emerging trend is that a group of hidden manipulators collaborate with each other to manipulate three trading sequences: buy-orders, sell-orders and trades, through carefully arranging their prices, volumes and time, in order to mislead other investors, affect the instrument movement, and thus maximize personal benefits. If the focus is on only one of the above three sequences in attempting to analyze such hidden group based behavior, or if they are merged into one sequence as per an investor, the coupling relationships among them indicated through trading actions and their prices/volumes/times would be missing, and the resulting findings would have a high probability of mismatching the genuine fact in business. Therefore, typical sequence analysis approaches, which mainly identify patterns on a single sequence, cannot be used here. This paper addresses a novel topic, namely coupled behavior analysis in hidden groups. In particular, we propose a coupled Hidden Markov Models (HMM)-based approach to detect abnormal group-based trading behaviors. The resulting models cater for (1) multiple sequences from a group of people, (2) interactions among them, (3) sequence item properties, and (4) significant change among coupled sequences. We demonstrate our approach in detecting abnormal manipulative trading behaviors on orderbook-level stock data. The results are evaluated against alerts generated by the exchange's surveillance system from both technical and computational perspectives. It shows that the proposed coupled and adaptive HMMs outperform a standard HMM only modeling any single sequence, or the HMM combining multiple single sequences, without considering the coupling relationship. Further work on coupled behavior analysis, including coupled sequence/event analysis, hidden group analysis and behavior dynamics are very critical. |
| 关 键 词: | 交易序列; 耦合关系; 隐马尔可夫模型; 耦合行为分析 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2020-01-16：chenxin |
| 阅读次数: | 34 |