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Title: Market Manipulation: An Adversarial Learning Framework for Detection and Evasion

We propose an adversarial learning framework to capture the evolving game between a regulator who develops tools to detect market manipulation and a manipulator who obfuscates actions to evade detection. The model includes three main parts: (1) a generator that learns to adapt original manipulation order streams to resemble trading patterns of a normal trader while preserving the manipulation intent; (2) a discriminator that differentiates the adversarially adapted manipulation order streams from normal trading activities; and (3) an agent-based simulator that evaluates the manipulation effect of adapted outputs. We conduct experiments on simulated order streams associated with a manipulator and a market-making agent respectively. We show examples of adapted manipulation order streams that mimic a specified market maker's quoting patterns and appear qualitatively different from the original manipulation strategy we implemented in the simulator. These results demonstrate the possibility of automatically generating a diverse set of (unseen) manipulation strategies that can facilitate the training of more robust detection algorithms.

Authors:
;
Award ID(s):
1741190
Publication Date:
NSF-PAR ID:
10185932
Journal Name:
29th International Joint Conference on Artificial Intelligence
Page Range or eLocation-ID:
4626 to 4632
Sponsoring Org:
National Science Foundation
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