International Business Machines Corporation
MARKET ABUSE DETECTION

Abstract:

A computer-implemented method for detecting market abuse in a data processing system, the method comprising: collecting a plurality of first events associated with a first stock trade occurring within a predetermined period of time; grouping the plurality of first events into different event groups, each group having a different type of first events; encoding each first event as one or more characters, and encoding each type of first events as a first string; collecting all the first strings in a sequence corresponding to different types of first events; feeding the sequence of first strings into a trained machine learning model; and determining, by the trained machine learning model, whether there is market abuse in the first stock trade.