Presentation information

Oral presentation

General Session » [General Session] 13. AI Application

[1M2] [General Session] 13. AI Application

Tue. Jun 5, 2018 3:20 PM - 5:00 PM Room M (2F Amethyst Hall Hoo)

座長:佐々木 耀一(日本電気株式会社)

4:20 PM - 4:40 PM

[1M2-04] Algorithmic Detection of Quote Spoofing in Stock Exchange Market Using Probability Density Ratio Estimation

〇Kenichi Nakahara1, Fumiya Shimada1, Kunihiro Miyazaki1, Masayuki Sekine1, Shouhei Ohsawa1, Makoto Ohshima2, Yutaka Matsuo1 (1. The University of Tokyo, 2. DSB Co., Ltd.)

Keywords:Anomaly Detection, Importance Fitting, Financial Market

We propose a model to quantitatively estimate quote spoofing in stock exchange markets without any answer labels, for the sake of more efficient and thorough inspection. In our model, density ratio estimation is used to extract unusual trading activities in unsupervised manner. Using market data at Tokyo Exchange and judges by experts, we validate the model and the result indicates that about 50% of half-day grouped trading histories can be ignored of manual inspection with 80% of frauds in the rest half of the dataset.