Closing Period Abuse Detection

Elise Fleischaker Product Features

scorefeatureClosing 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 choose between setting high percentage price move thresholds and risk missing instances of potential marking, or reducing the threshold and generating excessive false positives. The Neurensic model reduces false positives while detecting even the most nuanced instances of potential manipulation by evaluating numerous elements of a trader’s activity, such as the timing and aggressiveness of orders, in the context of the trader’s total intra-day trading. By taking into account factors beyond simple price move, the cortex specifically targets trading activity that has a high likelihood of drawing regulatory attention while reducing the occurrence of false positives.