The Detection of Market Abuse on Financial Markets: A Quantitative Approach

Quaderni Di Finanza, No. 54

53 Pages Posted: 14 Feb 2005

See all articles by Marcello Minenna

Marcello Minenna

The Italian Securities and Exchange Commission (CONSOB)

Abstract

In every country with legislation on market abuse, i.e. on market manipulation and insider trading, the repression of these offences is entrusted to supervisory and judicial authorities with powers that vary with the legislation in question. A procedure permitting cases of market abuse to be detected in real time is a need that is strongly felt by financial market supervisory authorities. Such a procedure consists basically in the analysis of the transactions carried out on the market by traders in order to detect anomalies that could be symptomatic of market abuse. The aim of this paper is to develop, through recourse to probability theory, a method for identifying cases of market abuse more effectively.

Keywords: Insider trading, market manipulation, abnormal return, detection of market abuse, alert, diffusion process

JEL Classification: C0, D8, G14, K4

Suggested Citation

Minenna, Marcello, The Detection of Market Abuse on Financial Markets: A Quantitative Approach. Quaderni Di Finanza, No. 54. Available at SSRN: https://ssrn.com/abstract=483962

Marcello Minenna (Contact Author)

The Italian Securities and Exchange Commission (CONSOB) ( email )

Via G.B.Martini 3
Rome
Italy

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