On detecting spoofing strategies in high-frequency trading

DOI10.1080/14697688.2022.2059390zbMath1503.91114arXiv2009.14818OpenAlexW3089839466MaRDI QIDQ5092656

Andrew C. Day, Samuel Drapeau, Lan Ling, Xuan Tao

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.14818

zbMATH Keywords

optimizationoptimal strategiesWasserstein distancehigh-frequency tradingspoofing strategiesTMX data

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• No-dynamic-arbitrage and market impact
• Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
• Continuous Auctions and Insider Trading
• Enhancing trading strategies with order book signals
• Spoofing and Price Manipulation in Order-Driven Markets
• Optimal execution strategies in limit order books with general shape functions
• Deep learning for limit order books