Regulators increasingly require market participants to self-monitor to prevent manipulative practices such as spoofing and layering. Jason Morton shares methods for detecting a spoofing overlay on top of a legitimate strategy from a flow of time-stamped order message and cancellation data. This requires appropriate price and time transformations and a decompositional approach to understanding order flow.
Jason Morton is an advisor at Ascendant and a visiting professor in computer science at Harvard University.
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