Market Manipulation: An Adversarial Learning Framework for Detection and Evasion
Xintong Wang, Michael P. Wellman
Abstract
We propose an adversarial learning framework to capture the evolving game between a regulator who develops tools to detect market manipulation and a manipulator who obfuscates actions to evade detection. The model includes three main parts: (1) a generator that learns to adapt original manipulation order streams to resemble trading patterns of a normal trader while preserving the manipulation intent; (2) a discriminator that differentiates the adversarially adapted manipulation order streams from normal trading activities; and (3) an agent-based simulator that evaluates the manipulation effect of adapted outputs. We conduct experiments on simulated order streams associated with a manipulator and a market-making agent respectively. We show examples of adapted manipulation order streams that mimic a specified market maker's quoting patterns and appear qualitatively different from the original manipulation strategy we implemented in the simulator. These results demonstrate the possibility of automatically generating a diverse set of (unseen) manipulation strategies that can facilitate the training of more robust detection algorithms.
BibTeX
@inproceedings{ijcai2020p638,
title = {Market Manipulation: An Adversarial Learning Framework for Detection and Evasion},
author = {Wang, Xintong and Wellman, Michael P.},
booktitle = {Proceedings of the Twenty-Ninth International Joint Conference on
Artificial Intelligence, {IJCAI-20}},
publisher = {International Joint Conferences on Artificial Intelligence Organization},
editor = {Christian Bessiere},
pages = {4626--4632},
year = {2020},
month = {7},
note = {Special Track on AI in FinTech},
doi = {10.24963/ijcai.2020/638},
url = {https://doi.org/10.24963/ijcai.2020/638},
}