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High Frequency Manipulation at Futures Expiry: The Case of Cash Settled Indian Single Stock Futures

Sobhesh Kumar Agarwalla, Joshy Jacob, Jayanth Rama Varma
2014 Social Science Research Network  
In 2013, the Securities and Exchange Board of India identified a case of alleged manipulation (in September 2012) of the settlement price of cash settled single stock futures based on high frequency circular  ...  This judgement is beyond the scope of our paper, and we refrain from making any judgement on whether any of the identified cases constitutes actual market manipulation. * All the authors are faculty members  ...  The manipulation caused the Korea Stock market index to drop by 2.79% in the last ten minutes of trading and allowed the manipulator to make a profit of $40 million.  ... 
doi:10.2139/ssrn.2395159 fatcat:khytfgaxxzejrpggvtevajewdm

Design Principles for Robust Fraud Detection: The Case of Stock Market Manipulations

Michael Siering, Goethe University Frankfurt, Germany, Jan Muntermann, Miha Grčar, University of Goettingen, Germany, Jožef Stefan Institute, Slovenia
2021 Journal of the AIS  
We address the challenge of building an automated fraud detection system with robust classifiers that mitigate countermeasures from fraudsters in the field of information-based securities fraud.  ...  The results indicate that the use of theory-based linguistic features and ensemble learning can significantly increase the robustness of classifiers and contribute to the effectiveness of robust fraud  ...  However, full automation in the field of market manipulation detection is not feasible.  ... 
doi:10.17705/1jais.00657 fatcat:hnu5yir5rvhvro5mwmlmh26chq

Stock Market Prediction for Algorithmic Trading using Machine Learning Techniques & Predictive Analytics: An Excel based automated application integrated with R and D3.JS

Chandrima Chowdhury
2019 Zenodo  
Based on historical price information, the machine learning models will forecast next day returns of the target stock.  ...  Though the models are very basic, the automation mechanism is effective and can be use by people who still want to rely on basic excel apps for stock data analytics (Tool Demo available here: https://youtu.be  ...  automated stock market prediction of NSE India -NIFTY stocks A 40 days C Requirements Analysis and Feasibility study of the application B 5 days D Design implementation methodology of creating  ... 
doi:10.5281/zenodo.2535988 fatcat:3t6gkmtfjna3jkjd7qwd7o64vi

Automating the price discovery process: Some international comparisons and regulatory implications

Ian Domowitz
1993 Journal of financial services research  
The idea behind OM’s business is to establish a set of locally feasible automated markets, followed by international linkages to further increase liquidity.  ...  All but one of such automated markets combine levels 4 and 5, however.  ... 
doi:10.1007/bf01046073 fatcat:tdx2eehliffmzpveagcj6sfgwi

Algorithmic Trading & High Frequency Trading

Mr. Mihir Rajan Patil
2019 International Journal for Research in Applied Science and Engineering Technology  
This paper provides the basic information of AT and HFT in the stock market and its advantages and disadvantages.  ...  Further, it provides the data describing the manual trading and the algo trading with its future development in the Indian stock market.  ...  market data to regulate the feasibility of the concept.  ... 
doi:10.22214/ijraset.2019.6275 fatcat:34fbq3zv6nfnzafcuyo6t4zk64

The Speed of Learning About Firms' Profitability and Their Price Multiples: A Global Perspective

Udomsak Wongchoti, Pankaj K. Jain
2010 Social Science Research Network  
This paper is an application of learning models in valuation of stocks listed on 48 international stock exchanges.  ...  Learning is faster in economically developed markets, on fully automated stock exchanges, and in countries where prohibitions on insider trading laws are enforced.  ...  Thus, M/B ratio of new firms stabilizes more quickly in automated transparent markets while the ratio tends to bounce around in opaque markets with poor disclosure and manipulative practices.  ... 
doi:10.2139/ssrn.686469 fatcat:ksxn2dxgujf7lky3abe4qall2i

Speed of Learning About Firms' Profitability and Their Price Multiples: A Global Perspective

Pankaj K. Jain, Udomsak Wongchoti
2008 Social Science Research Network  
This paper is an application of learning models in valuation of stocks listed on 48 international stock exchanges.  ...  Learning is faster in economically developed markets, on fully automated stock exchanges, and in countries where prohibitions on insider trading laws are enforced.  ...  Thus, M/B ratio of new firms stabilizes more quickly in automated transparent markets while the ratio tends to bounce around in opaque markets with poor disclosure and manipulative practices.  ... 
doi:10.2139/ssrn.1101856 fatcat:bovufdfmsvflvjylenbydbwvry

An Analysis of SEC Guidelines for Executing Open Market Repurchases*

Douglas O. Cook, Laurie Krigman, J. Chris Leach
2003 The journal of business  
NYSE = New York Stock Exchange; NASDAQ = National Association of Security Dealers Automated Quotation (system). ecuted 46 repurchase transactions at the market open.  ...  The NYSE [New York Stock Exchange] acknowledged that Rule 10b- 18 is neither mandatory nor the exclusive means for an issuer to make repurchases without manipulating the market price of its securities.  ... 
doi:10.1086/367751 fatcat:wgiwpybygng2zaey23xpmlu4re

Intelligent robot trends for 1998

Ernest L. Hall, David P. Casasent
1998 Intelligent Robots and Computer Vision XVII: Algorithms, Techniques, and Active Vision  
New areas of usage are emerging for service robots, remote manipulators and automated guided vehicles.  ...  Economically, the robotics industry now has a 1.1 billion-dollar market in the U.S. and is growing.  ...  The internal rate of return may be interpreted as the return on the investment in automation.  ... 
doi:10.1117/12.325768 fatcat:ipgebsy2trbzpmelmyidgnodey

Stock Market Manipulation on the Hong Kong Stock Exchange

Dionigi Gerace, Charles Chew, Christopher Whittaker, Paul Mazzola
2014 Australasian Accounting, Business and Finance Journal  
This study is the first to empirically examine stock market manipulation on the Hong Kong Stock Exchange.  ...  ABSTRACT This study is the first to empirically examine stock market manipulation on the Hong Kong Stock Exchange.  ...  The regressions are based on the 40 stock cases of market manipulation on the Hong Kong Stock Exchange.  ... 
doi:10.14453/aabfj.v8i4.7 fatcat:4axw4absz5dcngylqwymplvsou

Agent-based Bidding in Electronic Markets [chapter]

Dirk Neumann, Henner Gimpel, Carsten Holtmann, Christof Weinhardt
2003 IFIP Advances in Information and Communication Technology  
Even in the case of electronic markets software agents are rarely employed, albeit they can act as autonomous representatives of human negotiators.  ...  The paper concludes with some recommendations as to how automation of the bidding process can be achieved using software agents' intelligence.  ...  Hence, only total automation of e-markets, so-called automated negotiation (Jennings, Faratin et al. 2001) , are perceived to unfold the full range of the electronic markets' abilities.  ... 
doi:10.1007/978-0-387-35617-4_36 fatcat:jdibikd5wbcibmse6jsih7j7gi

Stock Price Manipulation Detection using Deep Unsupervised Learning: The Case of Thailand

Teema Leangarun, Poj Tangamchit, Suttipong Thajchayapong
2021 IEEE Access  
STUDY OF MANIPULATIVE TRADING IN STOCK MARKETS In earlier days, research on stock manipulation was conducted in the field of finance.  ...  It is the most common form of stock market manipulation [16] . On December 14, 2011, the stock (WAB) was manipulated on the New York Stock Exchange (NYSE) as illustrated in Fig. 5 [58].  ... 
doi:10.1109/access.2021.3100359 fatcat:lmqrsr4fxbad7jjnmlpvdbbpfm

Examination of the profitability of technical analysis based on moving average strategies in BRICS

Matheus José Silva de Souza, Danilo Guimarães Franco Ramos, Marina Garcia Pena, Vinicius Amorim Sobreiro, Herbert Kimura
2018 Financial Innovation  
In this paper, we investigated the profitability of technical analysis as applied to the stock markets of the BRICS member nations.  ...  Our results showed that the returns obtained by the automated system, on average, exceeded the value invested.  ...  The goal of our research was to investigate the profitability of trading strategies based on TA in the stock markets of BRICS countries.  ... 
doi:10.1186/s40854-018-0087-z fatcat:dxxmw3ycvvg2zifcajon35iphy

Stock exchange governance and market quality

Chandrasekhar Krishnamurti, John M Sequeira, Fu Fangjian
2003 Journal of Banking & Finance  
India has two major stock markets, the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE).  ...  Using the Hasbrouck [Review of Financial Studies 6 (1993) 191] measure of market quality we show that NSE provides a better quality market than BSE.  ...  Acknowledgements We would like to thank participants at the ''Future of Stock Exchanges in a Globalizing World'' Conference organized by the Journal of Banking and Finance and the Capital Markets Institute  ... 
doi:10.1016/s0378-4266(03)00105-5 fatcat:weaupgjqczgq7ooy4e6kgoelq4

Aggressive and Defensive High‑Frequency Trading and its Impact on Liquidity of German Stock Market

Juraj Hruška
2016 Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis  
This paper is focused on testing the relationship between market liquidity of shares traded on Frankfurt Stock Exchange and HFT activity on European stock markets.  ...  This is due to several cases of market manipulation and flash crashes in the previous years.  ...  Acknowledgements The support of the Masaryk University internal grant MUNI/A/1025/2015 Risks and Challenges of the Low Interest Rates Environment to Financial Stability and Development is gratefully acknowledged  ... 
doi:10.11118/actaun201664061911 fatcat:gvtwac7gcvcyfiz2vuz26y3csq
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