Suspicious Price Movement Detection
Elise Fleischaker
The Suspicious Price Movement model identifies executions during unusual market movements which may indicate abusive behavior or erroneous trades Aberrant Pricing Periods of trading where prices are outside expected ranges often garner regulatory attention.  Additionally, many abusive trading strategies involve executions at unusual prices. Firms that have executions during such events or have patterns of unusual executions are more likely to attract regulatory attention for lapses in supervisory controls or even disruptive trading practices. Traditional trade surveillance tools rely on single points
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Closing Period Abuse Detection
Elise Fleischaker
Closing Period Abuse Marking the close is a specific form of market manipulation designed to affect the closing or settlement price of an instrument. Because settlement prices are used to determine profit and loss for the day and calculate maintenance margins, trading during the pre-close period is heavily scrutinized by regulators. Traditional marking surveillance reviews for executions near settlement that move the price a fixed percentage away from either the last execution or prior settlement. Compliance officers often have to
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Cross Trade Detection
Elise Fleischaker
Crossing A cross trade is the purchase and sale by a broker of the same security for two clients. Futures exchange have crossing rules that mandate a delay between the entry of the buy and the sell to ensure that the buyer and seller receive a fair price. This delay allows time for other market participants to come in and trade at potentially better prices. The Neurensic Cross Trade Detection model identifies buys and sells placed at the same time
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Wash Sales Detection
Elise Fleischaker
Wash Sales and Churning A wash trade occurs when a trader is both the buyer and seller in the same transaction. This can be done to generate artificial volume, or in the case of churning, to generate commissions for the broker. The Neurensic Wash Trade Detection model looks for opposing orders of the same instrument that were executed at the same time and price by the same trader and account. See Also http://neurensic.com/wash-trading-isnt-victimless/ Regulatory Links http://neurensic.com/ice-futures-us-wash-trades-faq-february-2016/ http://neurensic.com/cme-rule-rule-534-wash-trades-prohibited/
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Pinging and Phishing Detection in Trading Systems
Elise Fleischaker
The Pinging and Phishing Detection model detects activity designed to take advantage of hidden volume at the expense of slower market participants. Pinging and Phishing Pinging and phishing involves the entering of small orders to discover hidden book depth followed by a series of order actions designed to force the large order to trade at less desirable prices. Neurensic takes a highly targeted approach to pinging surveillance that involves comparing the pattern of behavior after each ping order, with phishing patterns that
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Abusive Messaging Detection
Elise Fleischaker
The Abusive Messaging Detection model identifies patterns of disruptive or excessive order activity. Quote Stuffing Quote stuffing is a messaging pattern designed to disrupt normal market operations by introducing latency into an exchange's quoting engine. This latency prevents other market participants from trading as intended, and can be used as a component of a number of abusive messaging strategies.  The Neurensic Abusive Messaging Detection identifies quote stuffing using a dynamic pattern detection algorithm that eschews the traditional measurements of messages per second in favor of intensity and
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Momentum Ignition Detection
Elise Fleischaker
The Momentum Ignition Detection model identifies behavior designed to initiate rapid market movement at the expense of other participants. Igniters and Directional Manipulation Momentum ignition is a trading practice that attempts to create, or exacerbate, highly directional price movement and capitalize on the result. The practice has been linked to numerous disruptive market events and is considered a form of market abuse by all major exchanges. Generally speaking, momentum ignition is done by initiating a series of aggressive executions over a short period
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Spoofing Similarity Model
Elise Fleischaker
The Spoofing similarity model identifies various forms of market abuse that involve false or misleading order activity known as spoofing. “Criminal laws are rarely struck down on grounds of vagueness; vagueness is recognized to be necessary to make criminal laws effective.” CFTC argument in the matter of: Panther Energy Trading LLC and Michael J. Coscia Spoofing is a crime, but the word “spoofing” in a criminal context is relatively new. It did not appear in the first cases brought by
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