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Anomaly Detection in Stock Marketplace Based on Market Microstructure

LIN Yang(School of Economics,Fujian Normal University,Fuzhou 350117,China)  
It is well known that many defects exist in current stock market,such as information abuse and price manipulation.Anomaly detection is helpful to enhance the integrity,fairness and transparence of stock market so it becomes a key link in financial regulatory system.Unfortunately,existing approaches were low performing as they rarely focused on analyzing the intraday information and mining potential trading behaviors.It proposed a method,which based on market microstructure,to detect abnormal trading behaviors.An experiment was presented demonstrating the feasibility and effectiveness of this approach.
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