Analysis of Stock Market Manipulation using Generative Adversarial Nets and Denoising Auto-Encode Models

Document Type : Research Paper

Authors

1 Ph.D. student in university of Tehran Chief investment Officer in Maskan Investment Bank

2 Prof. finance University of Tehran

3 Finance university of Tehran

4 IT management University of Tehran

10.22034/amfa.2021.1933112.1608

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

References

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Advances in Mathematical Finance and Applications
Volume 7, Issue 1
January 2022
Pages 149-167

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History

  • Receive Date: 12 May 2021
  • Revise Date: 02 August 2021
  • Accept Date: 04 August 2021
  • First Publish Date: 06 September 2021

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