[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Current Issue :: Archive :: Search :: Submit :: Contact ::
Main Menu
Home::
Journal Information::
Articles archive::
For Authors::
For Reviewers::
Registration::
Contact us::
Site Facilities::
::
Search in website

Advanced Search
..
Receive site information
Enter your Email in the following box to receive the site news and information.
..
:: year 16, Issue 63 (2025) ::
fa 2025, 16(63): 1-15 Back to browse issues page
Iran Market Manipulation Detection Based On Machine Learning Algorithms Methods
Seyed Mohammad Reza Habibzadeh1 , Reza Gholami-Jamkarani *2 , Mohammad Ali Rastegar Sorkheh3 , Seyed Kazem Chavoshi4
1- Department of Financial Engineering, Qo.C, Islamic Azad University, Qom, Iran.
2- Department of Accounting, Qo.C. Islamic Azad University, Qom, Iran.
3- Faculty of Industrial and Systems Engineering, Tarbiat Modares University, Tehran, Iran.
4- Department of Insurance, Banking and Customs Management Faculty of Management, Kharazmi University, Tehran, Iran.
Abstract:   (12 Views)
 One of the most important prerequisites for the expansion and deepening of the capital market as the main economic market of the country is the trust of the actors and beneficiaries of this market in its efficiency and correctness as a basis for determining the price of financial assets fairly and away from fraud.therefore, the purpose of this research is to identify the manipulation of stock prices of companies accepted in the capital market of Iran, and with regard to the development of technology and complex trading algorithms based on artificial intelligence in stock transactions in the capital markets, taking advantage of Developed tools based on machine learning are considered essential by regulatory institutions in order to identify price manipulation in the capital market. In this research, using statistical methods such as sequence, skewness, kurtosis and textual anomaly detection test in order to prepare and label data, from a variety of machine learning methods including decision tree, random forest, support vector machine, network Multilayer neural and logistic regression have been used to identify stock manipulation during the second half of 1398 to the end of 1402 in the Iranian capital market. For this purpose, data on 73 stocks from 19 industries listed on TSE. The total number of trading days was about 71,300, of which manipulation occurred on 537 trading days and no manipulation occurred on the other days. The decision tree algorithm performed better than the other compared methods from the point of view of the balance between accuracy index, readability and F2 index. This result states that one of the most effective ways to identify price manipulation is to use predetermined rules that are extracted by decision tree models and can be updated at different time intervals. Based on the obtained results, the volume variable on the same day of manipulation (vol0) and the volume variable on a trading day before the manipulation (vol1) are the most important in identifying stock manipulation.
Article number: 1
Keywords: Capital Market, Stock Price Manipulation, Artificial Intelligence, Data Labeling, Decision Tree.
Full-Text [PDF 628 kb]   (8 Downloads)    
Type of Study: Research | Subject: Special
References
1. Aggarwal, R.K., & G. Wu. (2006). Stock market manipulations. The Journal of Business 79(4): 1915-1953.
2. Allen, F., & D. Gale. (1992). Stock-price manipulation. The Review of Financial Studies 5(3): 503-529.
3. Al-Thani, H.A. (2017). Detecting market manipulation in stock market data. Detecting market manipulation in stock market data.
4. Cherian, J.A., & R.A. Jarrow. (1995). Market manipulation. Handbooks in Operations Research and Management Science 9: 611-630.
5. Close, L., & R. Kashef. (2020). Combining Artificial Immune System and Clustering Analysis: A Stock Market Anomaly Detection Model. Journal of Intelligent Learning Systems and Applications 12(04): 83-108. DOI:10.4236/jilsa.2020.124005.
6. Comerton-Forde, C.,Putniņš, T.J., (2011). Measuring closing price manipulation. Journal of Financial Intermediation. 20(2): p. 135-158. Measuring closing price manipulation
7. Comerton-Forde, C., & T.J. Putniņš. (2014). Stock price manipulation: Prevalence and determinants. Review of Finance 18(1): 23-66.
8. Diaz, D., B. Theodoulidis & P. Sampaio. (2011). Analysis of stock market manipulations using knowledge discovery techniques applied to intraday trade prices. Expert Systems with Applications 38(10): 12757-12771.
9. Durston, G.J., & A. McKeon. (2020). The Little Book of Market Manipulation: An Essential Guide to the Law. Publisher: Waterside Press.
10. Ergün, H.O., A. Yalaman, V. Manahov & H. Zhang. (2020). Stock market manipulation in an emerging market of Turkey: how do market participants select stocks for manipulation? Applied Economics Letters 28(5): 354-358.
11. Fischel, D.R.,Ross, D.J., (1991). Should the Law Prohibit" Manipulation" in Financial Markets Harvard Law Review. 105(2): p. 503-553.
12. Golmohammadi, K., O.R. Zaiane & D. Díaz. (2014). Detecting stock market manipulation using supervised learning algorithms. In 2014 International Conference on Data Science and Advanced Analytics (DSAA). 2014. IEEE.
13. Golmohammadi, K., O.R. Zaiane. (2015). Time series contextual anomaly detection for detecting market manipulation in stock market. In 2015 IEEE International Conference on Data Science and Advanced Analytics (DSAA). 2015. IEEE.
14. Hart, O.D. (1977). On the profitability of speculation. The Quarterly Journal of Economics 91: 579–597.
15. Jarrow, R.A. (1992). Market manipulation, bubbles, corners, and short squeezes. Journal of Financial and Quantitative Analysis 27(03): 311-336.
16. Leangarun, T., & P. Tangamchit. (2018). Stock Price Manipulation Detection using Generative Adversarial Networks. Conference: 2018 IEEE Symposium Series on Computational Intelligence (SSCI) DOI:10.1109/SSCI.2018.8628777.
17. Pankajashan, S., G. Maragatham & T. Kirthiga Devi. (2021). Hybrid approach with Deep Auto-Encoder and optimized LSTM based Deep Learning approach to detect anomaly in cloud logs. Journal of Intelligent & Fuzzy Systems 42(2): 1-15. DOI:10.3233/JIFS-201707.
18. Prakash, A.,l'agriculture, O.d.N.U.p.l.a.e., (2011). Safeguarding food security in volatile global markets. 2011: Food and Agriculture Organization of the United Nations Rome. Safeguarding food security in volatile global markets
19. Quinn, P., M. Toman, & K. Curran. (2023). Identification of stock market manipulation using a hybrid ensemble approach. Applied Research and Smart Technology (ARSTech) 4(2): 53-63. DOI:10.23917/arstech.v4i2.2576.
20. Shah, S., I. Ismail & A. Shahrin. (2019). Stock market manipulation: A comparative analysis of East Asian emerging and developed financial markets. Management Science Letters 9(1): 183-192.
21. Zhang, K., G. Zhong, J. Dong, Sh. Wang & Y. Wang. (2019). Stock market prediction based on generative adversarial network. Procedia Computer Science 147: 400-406.
Send email to the article author

Add your comments about this article
Your username or Email:

CAPTCHA


XML   Persian Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Habibzadeh S M R, Gholami-Jamkarani R, Rastegar Sorkheh M A, Chavoshi S K. Iran Market Manipulation Detection Based On Machine Learning Algorithms Methods. fa 2025; 16 (63) : 1
URL: http://qfaj.mobarakeh.iau.ir/article-1-2778-en.html


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
year 16, Issue 63 (2025) Back to browse issues page
فصلنامه حسابداری مالی Quarterly Financial Accounting
Persian site map - English site map - Created in 0.05 seconds with 37 queries by YEKTAWEB 4710