KT Seminars

Discovering fraud: can CERN tools accelerate market surveillance

by Axel Naumann (CERN), Jozef Martin Pennings, Marjolein Verhulst, Philippe Debie

40/S2-A01 - Salle Anderson (CERN)

40/S2-A01 - Salle Anderson


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High Energy Physics Tools in Limit Order Book Analysis Project: A Unique cooperation between CERN and academic financial world and financial regulators. 

About four years ago researchers from Wageningen University (WUR)/Maastricht University (UM), the Commodity Risk Management Expertise Center (CORMEC) and CERN (ROOT Team) started to collaborate on research that aims to create new methods to protect commodity and financial markets from malpractices (fraud), to identify anomalies that can harm the integrity of these markets and, subsequently, to improve the design and regulation of markets. This research draws on the unique market data from WUR/UM and CORMEC, as well as their deep understanding of markets. CERN contributes data-analysis expertise and techniques such as ROOT. In the presentation members of the HighLO group will present results of the collaboration, show the real life impact the collaboration has made, and their future plans. In particular the new visualization techniques will be shown of financial markets (Limit order book), identification of malpractices (spoofing: the JPMorgan case), the impact of events on markets and a simulated market that can be used to validate detection tools.

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