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Development and Test of an Artificial-Immune- Abnormal-Trading-Detection System for Financial Markets

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Advances in Intelligent Computing (ICIC 2005)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 3644))

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Abstract

In this paper, we implement a pilot study on the detection of abnormal financial asset trading activities using an artificial immune system. We develop a prototype artificial immune abnormal-trading-detecting system (AIAS)to scan the proxy data from the stock market and detect the abnormal trading such as insider trading and market manipulation, etc. among them. The rapid and real time detection capability of abnormal trading activities has been tested under simulated stock market as well as using real intraday price data of selected Australian stocks. Finally, three parameters used in the AIAS are tested so that the performance and robustness of the system are enhanced.

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Author information

Authors and Affiliations

  1. School of Business Systems, Faculty of Information Technology, Monash University, Clayton Campus, Wellington Road, Victoria, 3800, Australia

    Vincent C. S. Lee & Xingjian Yang

Authors
  1. Vincent C. S. Lee
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  2. Xingjian Yang
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Editor information

Editors and Affiliations

  1. Intelligent Computing Lab, Institute of Intelligent Machines, Chinese Academy of Sciences,, China

    De-Shuang Huang

  2. School of Computer & Information Technology, Beijing Jiaotong University, 100044, Beijing, P.R. China

    Xiao-Ping Zhang

  3. School of Electrical and Electronic Engineering, Nanyang Technological University, P.O. Box, Singapore

    Guang-Bin Huang

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© 2005 Springer-Verlag Berlin Heidelberg

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Lee, V.C.S., Yang, X. (2005). Development and Test of an Artificial-Immune- Abnormal-Trading-Detection System for Financial Markets. In: Huang, DS., Zhang, XP., Huang, GB. (eds) Advances in Intelligent Computing. ICIC 2005. Lecture Notes in Computer Science, vol 3644. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11538059_43

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  • DOI: https://doi.org/10.1007/11538059_43

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-28226-6

  • Online ISBN: 978-3-540-31902-3

  • eBook Packages: Computer ScienceComputer Science (R0)

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