Detecting Financial Market Manipulation with Statistical Physics Tools

We take inspiration from statistical physics to develop a novel conceptual framework for the analysis of financial markets. We model the order book dynamics as a motion of particles and define the momentum measure of the system as a way to summarise and assess the state of the market. Our approach proves useful in capturing salient financial market phenomena: in particular, it helps detect the market manipulation activities called spoofing and layering. We apply our method to identify pathological order book behaviours during the flash crash of the LUNA cryptocurrency, uncovering widespread instances of spoofing and layering in the market. Furthermore, we establish that our technique outperforms the conventional Z-score-based anomaly detection method in identifying market manipulations across both LUNA and Bitcoin cryptocurrency markets

Joint Event Extraction via Structural Semantic Matching

Event Extraction (EE) is one of the essential tasks in information extraction, which aims to detect event mentions from text and find the corresponding argument roles. The EE task can be abstracted as a process of matching the semantic definitions and argument structures of event types with the target text. This paper encodes the semantic features of event types and makes structural matching with target text. Specifically, Semantic Type Embedding (STE) and Dynamic Structure Encoder (DSE) modules are proposed. Also, the Joint Structural Semantic Matching (JSSM) model is built to jointly perform event detection and argument extraction tasks through a bidirectional attention layer. The experimental results on the ACE2005 dataset indicate that our model achieves a significant performance improvemen