Title of article
Analysis of Stock Market Manipulation using Generative Adversarial Nets and Denoising Auto-Encode Models
Author/Authors
Hamedinia, Hamed Department of Finance, Accounting and Management - Tehran University, Tehran , Raei, Reza Department of Finance, Accounting and Management - Tehran University, Tehran , Bajalan, Saeed Department of Finance, Accounting and Management - Tehran University, Tehran , Rouhani, Saeed Department of IT Management - Tehran University, Tehran
Pages
19
From page
149
To page
167
Abstract
Market manipulation remains the biggest concern of investors in today’s securities market. The development of technologies and complex trading algorithms seems to facilitate stock market manipulation and make it inevitable for regulators to use Deep Learning models to prevent manipulation. In this research, a Denoising GAN-based model has been designed. The proposed model (GAN-DAE4) consists of a three-layer encoder along with a 2-dimension encoder as the discriminator and a three-layer decoder as the generator. First, using statistical methods such as sequence, skewness, and kurtosis tests and some unsupervised learning methods such as Contextual Anomaly Detection (CAD) and some visual and graphical methods, the manipulated stocks have been detected in the Tehran Stock Exchange from 2015 to 2020; then GAN-DAE4 and some supervised deep learning models have been applied to the prepared data set. The results show that GAN-DAE4 outperformed other deep learning models (with F2-measure 73.71%) such as Decision Tree (C4.5), Random Forest, Neural Network, and Logistic Regression.
Keywords
Anomaly Detection , Deep Learning , Generative Adversarial Net (GAN) , Stock Manipulation Detection
Journal title
Advances in Mathematical Finance and Applications
Serial Year
2022
Record number
2702115
Link To Document