Detecting Multilevel Manipulation from Limit Order Book via Cascaded Contrastive Representation Learning
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866909833614065664 |
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| author | Lin, Yushi Yang, Peng |
| author_facet | Lin, Yushi Yang, Peng |
| contents | Trade-based manipulation (TBM) undermines the fairness and stability of financial markets drastically. Spoofing, one of the most covert and deceptive TBM strategies, exhibits complex anomaly patterns across multilevel prices, while often being simplified as a single-level manipulation. These patterns are usually concealed within the rich, hierarchical information of the Limit Order Book (LOB), which is challenging to leverage due to high dimensionality and noise. To address this, we propose a representation learning framework combining a cascaded LOB representation architecture with supervised contrastive learning. Extensive experiments demonstrate that our framework consistently improves detection performance across diverse models, with Transformer-based architectures achieving state-of-the-art results. In addition, we conduct systematic analyses and ablation studies to investigate multilevel manipulation and the contributions of key components for detection, offering broader insights into representation learning and anomaly detection for complex time series data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_17086 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Detecting Multilevel Manipulation from Limit Order Book via Cascaded Contrastive Representation Learning Lin, Yushi Yang, Peng Computational Finance Computational Engineering, Finance, and Science Machine Learning Trading and Market Microstructure Trade-based manipulation (TBM) undermines the fairness and stability of financial markets drastically. Spoofing, one of the most covert and deceptive TBM strategies, exhibits complex anomaly patterns across multilevel prices, while often being simplified as a single-level manipulation. These patterns are usually concealed within the rich, hierarchical information of the Limit Order Book (LOB), which is challenging to leverage due to high dimensionality and noise. To address this, we propose a representation learning framework combining a cascaded LOB representation architecture with supervised contrastive learning. Extensive experiments demonstrate that our framework consistently improves detection performance across diverse models, with Transformer-based architectures achieving state-of-the-art results. In addition, we conduct systematic analyses and ablation studies to investigate multilevel manipulation and the contributions of key components for detection, offering broader insights into representation learning and anomaly detection for complex time series data. |
| title | Detecting Multilevel Manipulation from Limit Order Book via Cascaded Contrastive Representation Learning |
| topic | Computational Finance Computational Engineering, Finance, and Science Machine Learning Trading and Market Microstructure |
| url | https://arxiv.org/abs/2508.17086 |