Copertina

High-Frequency Market Manipulation Detection with a Markov-modulated Hawkes process

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Fabre, Timothée, Toke, Ioane Muni
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Methodology Statistical Finance Trading and Market Microstructure
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets
di: Fabre, Timothée, et al.
Pubblicazione: (2024)

Equity auction dynamics: latent liquidity models with activity acceleration
di: Salek, Mohammed, et al.
Pubblicazione: (2024)

Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks
di: Fabre, Timothée, et al.
Pubblicazione: (2025)

Neural Hidden Markov Model with Adaptive Granularity Attention for High-Frequency Order Flow Modeling
di: Hu, Tianzuo
Pubblicazione: (2026)

Detecting discrete processes with the Epps effect
di: Chang, Patrick, et al.
Pubblicazione: (2020)

Multi-kernel property in high-frequency price dynamics under Hawkes model
di: Lee, Kyungsub
Pubblicazione: (2023)

Hidden Order in Trades Predicts the Size of Price Moves
di: Singha, Mainak
Pubblicazione: (2025)

Nonparametric Estimation of Self- and Cross-Impact
di: Hey, Natascha, et al.
Pubblicazione: (2025)

Interpretable ML for High-Frequency Execution
di: Fabre, Timothée, et al.
Pubblicazione: (2023)

Detecting Crypto Pump-and-Dump Schemes: A Thresholding-Based Approach to Handling Market Noise
di: Karbalaii, Mahya
Pubblicazione: (2025)

Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market
di: Bodor, Hamza, et al.
Pubblicazione: (2024)

Liquidity Dynamics in RFQ Markets and Impact on Pricing
di: Bergault, Philippe, et al.
Pubblicazione: (2023)

Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach
di: Luwang, S. R., et al.
Pubblicazione: (2025)

Intraday Limit Order Price Change Transition Dynamics Across Market Capitalizations Through Markov Analysis
di: Luwang, Salam Rabindrajit, et al.
Pubblicazione: (2026)

Information Propagation Across Investor Types: Transfer Entropy Networks in the Korean Equity Market
di: Kang, Sungwoo
Pubblicazione: (2026)

Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets
di: Lu, Yutong, et al.
Pubblicazione: (2022)

Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior
di: Un, Kuok Sin, et al.
Pubblicazione: (2025)

Estimation of bid-ask spreads in the presence of serial dependence
di: Brouty, Xavier, et al.
Pubblicazione: (2024)

Insider Purchase Signals in Microcap Equities: Gradient Boosting Detection of Abnormal Returns
di: Zhao, Hangyi
Pubblicazione: (2026)

Asymptotic and finite-sample distributions of one- and two-sample empirical relative entropy, with application to change-point detection
di: Garcin, Matthieu, et al.
Pubblicazione: (2025)

Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading
di: Rahman, Abdul, et al.
Pubblicazione: (2024)

Order-Flow Filtration and Directional Association with Short-Horizon Returns
di: Anantha, Aditya Nittur, et al.
Pubblicazione: (2025)

An Impulse Control Approach to Market Making in a Hawkes LOB Market
di: Jain, Konark, et al.
Pubblicazione: (2025)

A Midsummer Meme's Dream: Investigating Market Manipulations in the Meme Coin Ecosystem
di: Mongardini, Alberto Maria, et al.
Pubblicazione: (2025)

Reinforcement Learning for Trade Execution with Market and Limit Orders
di: Cheridito, Patrick, et al.
Pubblicazione: (2025)

Scalable Agent-Based Modeling for Complex Financial Market Simulations
di: Wheeler, Aaron, et al.
Pubblicazione: (2023)

Non-Linear and Meta-Stable Dynamics in Financial Markets: Evidence from High Frequency Crypto Currency Market Makers
di: Halperin, Igor
Pubblicazione: (2025)

The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework
di: Maitrier, Guillaume, et al.
Pubblicazione: (2025)

Emergence of Randomness in Temporally Aggregated Financial Tick Sequences
di: Onofri, Silvia, et al.
Pubblicazione: (2025)

Event-Time Anchor Selection for Multi-Contract Quoting
di: Anantha, Aditya Nittur, et al.
Pubblicazione: (2025)

A Volume-Price-Adjusted MACD Trading Strategy with Sensitivity Calibration for U.S. Equity Indices
di: Lin, Luyun, et al.
Pubblicazione: (2026)

Unlocking Profit Potential: Maximizing Returns with Bayesian Optimization of Supertrend Indicator Parameters
di: Rahman, Abdul
Pubblicazione: (2024)

The leverage effect and other stylized facts displayed by Bitcoin returns
di: Filho, F. N. M. de Sousa, et al.
Pubblicazione: (2020)

Electricity Spot Prices Forecasting Using Stochastic Volatility Models
di: Batyrov, Andrei Renatovich
Pubblicazione: (2024)

Reconciling Open Interest with Traded Volume in Perpetual Swaps
di: Giagkiozis, Ioannis, et al.
Pubblicazione: (2023)

Battery valuation on electricity intraday markets with liquidity costs
di: Cognéville, Enzo, et al.
Pubblicazione: (2024)

Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process
di: Lee, Kyungsub
Pubblicazione: (2026)

Market Making in Spot Precious Metals
di: Barzykin, Alexander, et al.
Pubblicazione: (2024)

Option Pricing on Automated Market Maker Tokens
di: Maymin, Philip Z.
Pubblicazione: (2026)

Trends and Reversion in Financial Markets on Time Scales from Minutes to Decades
di: Safari, Sara A., et al.
Pubblicazione: (2025)