On detecting spoofing strategies in high-frequency trading-Reference-Cited by-同舟云学术

On detecting spoofing strategies in high-frequency trading

Published:2022-05-16 Issue:8 Volume:22 Page:1405-1425
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Tao Xuan¹,Day Andrew²,Ling Lan³,Drapeau Samuel⁴

Affiliation:

1. School of Mathematical Sciences, Shanghai Jiao Tong University, Shanghai, People's Republic of China

2. Western University, London, Canada

3. School of Mathematical Sciences (now at Ping An Technology), Shanghai Jiao Tong University, Shanghai, People's Republic of China

4. China Academy of Financial Research (SAIF) and School of Mathematical Sciences, Shanghai Jiao Tong University, Shanghai, People's Republic of China

Funder

National Science Foundation of China

Shanghai Jiao Tong University

Mitacs

Natural Sciences and Engineering Research Council of Canada

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2059390

Reference28 articles.

1. Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

2. Optimal execution strategies in limit order books with general shape functions

3. Stock-Price Manipulation

4. Order Flows and Limit Order Book Resiliency on the Meso-Scale

5. Detecting price manipulation in the financial market

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