Methods of Detection Shares Manipulation on the Russian Stock Market

Student: Bykovskaya Daria

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2017

Manipulation legislative regulation in Russia is actively developing since 2010. In addition to regulatory measures a set of methods for the detection of manipulative transactions must be also created. Such policies include models of maximum price deviation, parametric and nonparametric. The study aims to compare models that identify suspicious transactions in the Russian financial market of highly liquid stocks and show patterns of suspicious transactions. In this paper the model of maximum price deviation in conjunction with additional factors, as well as nonparametric models are tested. As a result of analysis the author has revealed differences in percentage of detected suspicious transactions in relation to the total number of observations, and she was able to show variations in the dependency of the factors in the constructed non-parametric models.

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