Advanced search
Publication Cover
Applied Economics Volume 53, 2021 - Issue 43
Submit an article Journal homepage
192
Views
2
CrossRef citations to date
0
Altmetric
Research Article

An agent-based model and detect price manipulation based on intraday transaction data with simulation

Mohammad ZareDepartment of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), TehranIranORCID Iconhttps://orcid.org/0000-0001-8757-4880
ORCID Icon,
Omid Naghshineh A.Department of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), TehranIranCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-7435-2733
ORCID Icon,
Erfan SalavatiDepartment of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), TehranIranORCID Iconhttps://orcid.org/0000-0001-8214-5518
ORCID Icon &
Adel MohammadpourDepartment of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), TehranIranORCID Iconhttps://orcid.org/0000-0002-5079-7025
ORCID Icon
Pages 4931-4949 | Published online: 02 Aug 2021

References

  • Aggarwal, R.K. and Wu, G., 2003, March. “Stock market manipulation-theory and evidence”. In AFA 2004 San Diego Meetings
  • Allen, F., and D. Gale. 1992. “Stock-price Manipulation.” The Review of Financial Studies 5 (3): 503–529. doi:10.1093/rfs/5.3.503.
  • Carhart, M. M., R. Kaniel, D. K. Musto, and A. V. Reed. 2002. “Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds.” The Journal of Finance 57 (2): 661–693. doi:10.1111/1540-6261.00438.
  • Conrad, J., R. F. Dittmar, and E. Ghysels. 2008. Skewness and the Bubble. University of North Carolina at Chapel Hill: Unpublished working paper.
  • Cont, R., and A. De Larrard. 2013. “Price Dynamics in a Markovian Limit Order Market.” SIAM Journal on Financial Mathematics 4 (1): 1–25. doi:10.1137/110856605.
  • Evans, G. W. 1986. “A Test for Speculative Bubbles in the Sterling-dollar Exchange Rate: 1981-84.” The American Economic Review 76: 621–636.
  • Gould, M., M. Porter, S. Williams, M. McDonald, D. Fenn, and S. Howison. 2013. “Limit Order Books.” Quantitative Finance 13 (11): 1709–1742. doi:10.1080/14697688.2013.803148.
  • Hanson, R., and R. Oprea. 2009. “A Manipulator Can Aid Prediction Market Accuracy.” Economica 76: 304–314. doi:10.1111/j.1468-0335.2008.00734.x.
  • Harvey, C. R., and A. Siddique. 2000. “Conditional Skewness in Asset Pricing Tests.” The Journal of Finance 55 (3): 1263–1295. doi:10.1111/0022-1082.00247.
  • Hommes, C. 2006. “Chapter 23 Heterogeneous Agent Models in Economics and Finance.” Handbook of Computational Economics 2: 1109–1186. doi:10.1016/S1574-0021(05)02023-X.
  • Jarrow, R. A. 1992. “Market Manipulation, Bubbles, Corners, and Short Squeezes.” Journal of Financial and Quantitative Analysis 27: 311–336. doi:10.2307/2331322.
  • LeBaron, B. 2006. “Chapter 24 Agent-based Computational Finance.” Handbook of Computational Economics 2: 1187–1233. doi:10.1016/S1574-0021(05)02024-1.
  • Li, A., J. Wu, and Z. Liu. 2017. “Market Manipulation Detection Based on Classification Methods.” Procedia Computer Science 122: 788–795. doi:10.1016/j.procs.2017.11.438.
  • Luckock, H. 2003. “A Steady-state Model of the Continuous Double Auction.” Quantitative Finance 3 (5): 385–404. doi:10.1088/1469-7688/3/5/305.
  • Öğüt, H., M. M. Doğanay, and R. Aktaş. 2009. “Detecting Stock-price Manipulation in an Emerging Market: The Case of Turkey.” Expert Systems with Applications 36: 11944–11949. doi:10.1016/j.eswa.2009.03.065.
  • Putniņš, T. J. 2012. “Market Manipulation: A Survey.” Journal of Economic Surveys 26: 952–967. doi:10.1111/j.1467-6419.2011.00692.x.
  • Roodposhti, F. R., M. F. Shams, and H. Kordlouie. 2011. “Forecasting Stock Price Manipulation in Capital Market.” World Academy of Science, Engineering and Technology 80: 151–161.
  • Zare, Mohammad, et al. “An Agent‐Based model for Limit Order Book: Estimation and simulation.” International Journal of Finance & Economics 26.1 (2021): 1112–1121

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.