Use this URL to cite or link to this record in EThOS: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.725743 |
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Title: | Modelling trader intentions through evolving Bayesian networks | ||||
Author: | Cowan, Alexandra |
ISNI:
0000 0004 6425 0631
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Awarding Body: | Queen's University Belfast | ||||
Current Institution: | Queen's University Belfast | ||||
Date of Award: | 2017 | ||||
Availability of Full Text: |
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Abstract: | |||||
This research highlights the problem of trade based market manipulation in financial markets, where an individual or party aim to distort the pricing mechanism and gain profit at the expense of law abiding investors. This research evaluates data mining approaches applied to financial market surveillance and addresses a current deficit in literature with regards to modelling traders at an entity level. A system is proposed, named the Evolving Bayesian Network (EBN), to model an individual trader's behaviour using transaction order data generated by the participant. The aim of the model is to infer the individual's intentions as order sequences are generated throughout a trading day, to then detect when manipulation attempts are being made for personal gain.
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Supervisor: | Not available | Sponsor: | Not available | ||
Qualification Name: | Thesis (Ph.D.) | Qualification Level: | Doctoral | ||
EThOS ID: | uk.bl.ethos.725743 | DOI: | Not available | ||
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