Detecting Spoofing Strategies in High Frequency Trading

Explore the intricacies of detecting spoofing strategies in high frequency trading through this virtual talk presented by the Society for Industrial and Applied Mathematics. Delve into Samuel Drapeau's research from Shanghai Jiao Tong University as he discusses the challenges of identifying price manipulations in limit order books. Learn about the impact of volume imbalance on price movements and how spoofers exploit this effect. Discover a model for determining optimal limit order placement to maximize gains, and understand the solution to this non-local optimization problem. Gain insights into calibrating imbalance impact using real data from TMX and explore methods for real-time detection of spoofing behavior based on Wasserstein distances. Moderated by Mike Ludkovski from UC Santa Barbara, this hour-long presentation offers valuable knowledge for those interested in financial mathematics and algorithmic trading regulation.