Market microstructure patterns powering trading and surveillance agents

Cao, L; Ou, Y

Market microstructure patterns powering trading and surveillance agents

Cao, L

Ou, Y

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Publication Type:: Journal Article
Citation:: Journal of Universal Computer Science, 2008, 14 (14), pp. 2288 - 2308
Issue Date:: 2008-12-15

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Field	Value	Language
dc.contributor.author	Cao, L https://orcid.org/0000-0003-1562-9429	en_US
dc.contributor.author	Ou, Y	en_US
dc.date.issued	2008-12-15	en_US
dc.identifier.citation	Journal of Universal Computer Science, 2008, 14 (14), pp. 2288 - 2308	en_US
dc.identifier.uri	http://hdl.handle.net/10453/8914
dc.description.abstract	Market Surveillance plays important mechanism roles in constructing market models. From data analysis perspective, we view it valuable for smart trading in designing legal and profitable trading strategies and smart regulation in maintaining market integrity, transparency and fairness. The existing trading pattern analysis only focuses on interday data which discloses explicit and high-level market dynamics. In the mean time, the existing market surveillance systems available from large exchanges are facing crucial challenges of diversified, dynamic, distributed and cyber-based misuse, mis-disclosure and misdealing of information, announcement and orders in one market or crossing multiple markets. Therefore, there is a crucial need to develop innovative and workable methods for smart trading and surveillance. To deal with such issues, we propose the innovative concept microstructure pattern analysis and corresponding approaches in this paper. Microstructure pattern analysis studies trading behaviour patterns of traders in market microstructure data by utilizing market microstructure knowledge. The identified market microstructure patterns are then used for powering market trading and surveillance agents for automatically detecting/designing profitable and legal trading strategies or monitoring abnormal market dynamics and trader's behaviour. Such trading/surveillance agent-driven market trading/surveillance systems can greatly enhance the analytical, discovery and decision-support capability of market trading/surveillance than the current predefined rule/alert-based systems. © J.UCS.	en_US
dc.relation.ispartof	Journal of Universal Computer Science	en_US
dc.subject.classification	Computation Theory & Mathematics	en_US
dc.title	Market microstructure patterns powering trading and surveillance agents	en_US
dc.type	Journal Article
utslib.citation.volume	14	en_US
utslib.for	080101 Adaptive Agents and Intelligent Robotics	en_US
utslib.for	080110 Simulation and Modelling	en_US
utslib.for	080109 Pattern Recognition and Data Mining	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	08 Information and Computing Sciences	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Engineering and Information Technology
pubs.organisational-group	/University of Technology Sydney/Strength - AAI - Advanced Analytics Institute Research Centre
utslib.copyright.status	open_access
pubs.issue	14	en_US
pubs.publication-status	Published	en_US
pubs.volume	14	en_US

Abstract:

Market Surveillance plays important mechanism roles in constructing market models. From data analysis perspective, we view it valuable for smart trading in designing legal and profitable trading strategies and smart regulation in maintaining market integrity, transparency and fairness. The existing trading pattern analysis only focuses on interday data which discloses explicit and high-level market dynamics. In the mean time, the existing market surveillance systems available from large exchanges are facing crucial challenges of diversified, dynamic, distributed and cyber-based misuse, mis-disclosure and misdealing of information, announcement and orders in one market or crossing multiple markets. Therefore, there is a crucial need to develop innovative and workable methods for smart trading and surveillance. To deal with such issues, we propose the innovative concept microstructure pattern analysis and corresponding approaches in this paper. Microstructure pattern analysis studies trading behaviour patterns of traders in market microstructure data by utilizing market microstructure knowledge. The identified market microstructure patterns are then used for powering market trading and surveillance agents for automatically detecting/designing profitable and legal trading strategies or monitoring abnormal market dynamics and trader's behaviour. Such trading/surveillance agent-driven market trading/surveillance systems can greatly enhance the analytical, discovery and decision-support capability of market trading/surveillance than the current predefined rule/alert-based systems. © J.UCS.

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http://hdl.handle.net/10453/8914