Methods for Detection of Price Manipulation in the Securities Market

Student: Zamaraev Timur

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2016

In this paper, a mathematical model was aimed at revealing the manipulative actions with consideration security. the confirmed cases of manipulation of both the Russian and the US market have been analyzed, and the model was tested on the relevant shares for trading data for the period, including a fixed period of manipulation. In the case of manipulation of the ordinary shares of the Russian Mining Metallurgical Company "Mechel" identified three main factors that affect the likelihood of cases of manipulation of the paper: the value of the yield of a security, the yield deviation from its mean value and a similar deviation for trading volumes on this paper. On the shares of the American company Sarepta Biopharmaceuticals reveal similar data failed because of the high frequency trading these shares and the unavailability of intraday data for the period under review.

Full text (added May 16, 2016)

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