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Make Data Work
September 25–26, 2017: Training
September 26–28, 2017: Tutorials & Conference
New York, NY

Detecting a spoofing overlay

Jason Morton (Ascendant)
Strata Business Summit
Location: 1E 07/08
Average rating: ***..
(3.00, 3 ratings)

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.

Photo of Jason Morton

Jason Morton

Ascendant

Jason Morton is an advisor at Ascendant and a visiting professor in computer science at Harvard University.