{"title":"挖掘微观结构数据中的异常活动模式","authors":"Yuming Ou, Longbing Cao, C. Luo, Li Liu","doi":"10.1109/WIIAT.2008.160","DOIUrl":null,"url":null,"abstract":"Market Surveillance plays an important role in maintaining market integrity, transparency and fairness. The existing trading pattern analysis only focuses on interday data which discloses explicit and high-level market dynamics. In the mean time, the existing market surveillance systems are facing challenges of misuse, mis-disclosure and misdealing of information, announcement and order in one market or crossing multiple markets. Therefore, there is a crucial need to develop workable methods for smart surveillance. To deal with such issues, we propose an innovative methodology - microstructure activity pattern analysis. Based on this methodology, a case study in identifying exceptional microstructure activity patterns is carried out. The experiments on real-life stock data show that microstructure activity pattern analysis opens a new and effective means for crucially understanding and analysing market dynamics. The resulting findings such as exceptional microstructure activity patterns can greatly enhance the learning, detection, adaption and decision-making capability of market surveillance.","PeriodicalId":393772,"journal":{"name":"2008 IEEE/WIC/ACM International Conference on Web Intelligence and Intelligent Agent Technology","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2008-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Mining Exceptional Activity Patterns in Microstructure Data\",\"authors\":\"Yuming Ou, Longbing Cao, C. Luo, Li Liu\",\"doi\":\"10.1109/WIIAT.2008.160\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Market Surveillance plays an important role in maintaining market integrity, transparency and fairness. The existing trading pattern analysis only focuses on interday data which discloses explicit and high-level market dynamics. In the mean time, the existing market surveillance systems are facing challenges of misuse, mis-disclosure and misdealing of information, announcement and order in one market or crossing multiple markets. Therefore, there is a crucial need to develop workable methods for smart surveillance. To deal with such issues, we propose an innovative methodology - microstructure activity pattern analysis. Based on this methodology, a case study in identifying exceptional microstructure activity patterns is carried out. The experiments on real-life stock data show that microstructure activity pattern analysis opens a new and effective means for crucially understanding and analysing market dynamics. The resulting findings such as exceptional microstructure activity patterns can greatly enhance the learning, detection, adaption and decision-making capability of market surveillance.\",\"PeriodicalId\":393772,\"journal\":{\"name\":\"2008 IEEE/WIC/ACM International Conference on Web Intelligence and Intelligent Agent Technology\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-12-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2008 IEEE/WIC/ACM International Conference on Web Intelligence and Intelligent Agent Technology\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/WIIAT.2008.160\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2008 IEEE/WIC/ACM International Conference on Web Intelligence and Intelligent Agent Technology","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/WIIAT.2008.160","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Mining Exceptional Activity Patterns in Microstructure Data
Market Surveillance plays an important role in maintaining market integrity, transparency and fairness. The existing trading pattern analysis only focuses on interday data which discloses explicit and high-level market dynamics. In the mean time, the existing market surveillance systems are facing challenges of misuse, mis-disclosure and misdealing of information, announcement and order in one market or crossing multiple markets. Therefore, there is a crucial need to develop workable methods for smart surveillance. To deal with such issues, we propose an innovative methodology - microstructure activity pattern analysis. Based on this methodology, a case study in identifying exceptional microstructure activity patterns is carried out. The experiments on real-life stock data show that microstructure activity pattern analysis opens a new and effective means for crucially understanding and analysing market dynamics. The resulting findings such as exceptional microstructure activity patterns can greatly enhance the learning, detection, adaption and decision-making capability of market surveillance.