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资本市场中,交易员可以利用精心设计的交易策略人为操纵金融产品价格的起伏并从中获利,这种交易行为被称为市场价格操纵。近年来,全球资本市场交易量迅速增长,市场交易频率大幅提高,人为操纵金融市场价格严重损害了金融市场的稳定性和完整性。严格监测价格操纵行为对于稳定金融市场,降低市场灾难性震荡有着至关重要的作用。本文提出一种隐马尔科夫模型,旨在通过特征抽取,应用高斯混合模型和隐马尔科夫模型对交易行为建模,监测价格操纵。
In capital markets, traders can manipulate and profit from fluctuations in the prices of financial products using well-designed trading strategies, which are called market price manipulation. In recent years, the transaction volume of global capital markets has been rapidly increasing, and the frequency of market transactions has risen sharply. The price of artificially manipulating financial markets has seriously damaged the stability and integrity of financial markets. Strict monitoring of price manipulation is vital to stabilizing financial markets and reducing disastrous market turmoil. In this paper, a hidden Markov model is proposed to model the trading behavior by using feature extraction, Gaussian mixture model and Hidden Markov Model, and to monitor price manipulation.