Detecting Collusive Cliques in Futures Markets Based on Trading Behaviors from Real Data.
Abstract
In financial markets, abnormal trading behaviors pose a serious challenge to
market surveillance and risk management. What is worse, there is an increasing
emergence of abnormal trading events that some experienced traders constitute a
collusive clique and collaborate to manipulate some instruments, thus mislead
other investors by applying similar trading behaviors for maximizing their
personal benefits. In this paper, a method is proposed to detect the hidden
collusive cliques involved in an instrument of future markets by first
calculating the correlation coefficient between any two eligible unified
aggregated time series of signed order volume, and then combining the connected
components from multiple sparsified weighted graphs constructed by using the
correlation matrices where each correlation coefficient is over a
user-specified threshold. Experiments conducted on real order data from the
Shanghai Futures Exchange show that the proposed method can effectively detect
suspect collusive cliques. A tool based on the proposed method has been
deployed in the exchange as a pilot application for futures market surveillance
and risk management.
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