论文标题
检测高频交易中的欺骗策略
On Detecting Spoofing Strategies in High Frequency Trading
论文作者
论文摘要
欺骗是一种非法的行为，即人为地修改供应，以朝着给定的方向推动临时价格以谋取利润。实际上，由于现代电子平台的复杂性和命令的高频，对这种行为的检测是具有挑战性的。我们提出了在简单的静态环境中欺骗的微观结构研究。引入了影响最终价格转移的多层次失衡，我们描述了潜在的欺骗者的优化策略。我们提供的条件在于市场更有可能接受欺骗行为作为市场特征的函数。我们描述了优化后的最佳欺骗策略，这使我们能够量化欺骗后对不平衡的影响。基于这些结果，我们将模型从TMX校准为实际2级数据集，并根据Wasserstein距离提供一些监视程序，以实时检测欺骗策略。
Spoofing is an illegal act of artificially modifying the supply to drive temporarily prices in a given direction for profit. In practice, detection of such an act is challenging due to the complexity of modern electronic platforms and the high frequency at which orders are channeled. We present a micro-structural study of spoofing in a simple static setting. A multilevel imbalance which influences the resulting price movement is introduced upon which we describe the optimization strategy of a potential spoofer. We provide conditions under which a market is more likely to admit spoofing behavior as a function of the characteristics of the market. We describe the optimal spoofing strategy after optimization which allows us to quantify the resulting impact on the imbalance after spoofing. Based on these results we calibrate the model to real Level 2 datasets from TMX, and provide some monitoring procedures based on the Wasserstein distance to detect spoofing strategies in real time.
