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dc.contributor.advisorWhigham, Peter Alexander
dc.contributor.advisorCrack, Timothy Falcon
dc.contributor.authorWithanawasam, Rasika Maduranga
dc.date.available2013-05-28T23:08:43Z
dc.date.copyright2013
dc.identifier.citationWithanawasam, R. M. (2013). Modelling Trade-Based Manipulation Strategies in Limit-Order Markets (Thesis, Doctor of Philosophy). University of Otago. Retrieved from http://hdl.handle.net/10523/4047en
dc.identifier.urihttp://hdl.handle.net/10523/4047
dc.description.abstractInsider trading (i.e., "informed market manipulation") use private information to illegally profit. However, it is not necessary to have trading related information to profit in a stock market. If a trader can generate false information in order to mislead other market participants, he or she can make a profit. This is commonly termed "uninformed market manipulation." Modelling stock markets provides a means to test market manipulation theories. This thesis presents such market models to describe different aspects of complex behaviour in stock markets and stock manipulation. This research is shown to be the first to characterise trade-based manipulation in a single realistic model of a limit order market. We discuss the characteristics of stock manipulation by considering trading related information, and present a simple framework for manipulation. Realistic market micro-structure models are presented to characterise stock market and trader behaviour. A belief structure of a stock trader is characterised. This model allows us to control and tune trader beliefs explicitly in order to analyse their learning processes and effects on the order book. Models are then used to explain real stock market behaviour. The impacts of heterogeneous trader types on these models are considered. Finally, stock manipulation scenarios are characterised as external processes and introduced to our computational market, thus allowing stock manipulation models to be built. Using these manipulation models, simplified formal explanations for manipulation scenarios are presented. The resulting models are used to address current theories regarding manipulation and in explaining the profitability and detectability of manipulation in liquid and illiquid markets.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherUniversity of Otago
dc.rightsAll items in OUR Archive are provided for private study and research purposes and are protected by copyright with all rights reserved unless otherwise indicated.
dc.subjectlimit order markets
dc.subjectstock market manipulation
dc.subjectpump-and-dump
dc.subjectmicro-economic models
dc.subjectMaslov model
dc.subjectmanipulation models
dc.titleModelling Trade-Based Manipulation Strategies in Limit-Order Markets
dc.typeThesis
dc.date.updated2013-05-28T21:54:04Z
dc.language.rfc3066en
thesis.degree.disciplineInformation Science
thesis.degree.nameDoctor of Philosophy
thesis.degree.grantorUniversity of Otago
thesis.degree.levelDoctoral
otago.openaccessOpen
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