Zhuohao Hu, M.S. in Financial Engineering, Graduated December 2019
Zikun Chen, M.S. in Financial Engineering, Graduated December 2019
Dr. Steve Yang
Market manipulation distorts the fair pricing of securities by creating artificial prices, and accordingly it significantly lowers individuals’ market participation. In this project, a java-based software called Anylogic has been introduced to simulate an agent-based model of the stock market. It helps market regulators to summarize patterns of market manipulation and provides guidance for future market manipulation investigation.
Keywords: market microstructure, agent-based model, spoofing strategy
The results show that spoofing traders profit a lot from the market by sending huge amount of fake orders to manipulate order difference. In the meanwhile, the volatility of the market also increases significantly and indicates a rising in market risk. In conclusion, all spoofing strategies are illegal, and those traders must be banned.