Market Manipulation

This article analyses the regulation of market manipulation in South Africa under the Securities Services Act 36 of 2004. The rationale for regulating market manipulation is canvassed, as well as the regulation of market manipulation under the common law. In addition the trading practices prohibited by the Securities Services Act as well as the deemed prohibited trading practices are examined and analysed.

We propose a new benchmark for FX which we call SIREN. This benchmark is designed to be a fair benchmark to use for settling large FX transactions and an alternative to the WMR Fix which has been the subject of recent FX controversies. We argue that FX fixing issues have arisen because the fix neglects to reflect how FX is traded in large volumes leading to collusion between market-makers and potential front-running to reduce trading risk. SIREN uses the concept of optimal execution to both reflect the risk of trading larger notionals and to spread out the trading activity around the benchmark. In addition, the SIREN benchmark is calculated over a longer window allowing the market to better absorb the volume traded against the benchmark. We believe this approach improves results for both the buy-side and the sell-side. This whitepaper will first look at existing benchmarks and associated issues before discussing optimal execution and explaining the SIREN methodology. We graphically compare the various benchmarks before investigating real-world effects using a case study of over 3000 fixing trades executed by a pension fund.

Purpose
The purpose of this paper is to uncover an institutional reason behind herding and the key to successful execution of the accumulation-lift-distribution (ALD) trading strategy.
Design/methodology/approach
The paper proposes the perception alignment hypothesis (PAH), which is based on a large number of empirical episodes. Extensive empirical and theoretical literature of 79 articles is reviewed. These are selected from previously unrelated fields of prosecuted cases in market manipulation, sell-side analysts’ recommendations and internet rumors. These studies are put into a unifying conceptual framework.

Findings
The proposed PAH can explain some herding episodes that were generated for the purpose of executing ALD.

Practical implications
The value of the approach is that while behavioral biases are hard to change, perception alignment can be more responsive to regulation.

Originality/value
This paper is the first to propose the PAH. It provides an explanation for the causality of herding that complements the traditional literature on the psychological weaknesses of investors. This paper opens a debate on whether the stock market is fully competitive because investors have behavioral biases and certain institutions take advantage of those biases.

Keywords:
Perception, Accumulation-Lift-Distribution, Herding, Perception alignment hypothesis, G01, G02, G110
Type:
Conceptual Paper
Publisher:
Emerald Group Publishing Limited
Received:
17 January 2016
Accepted:
02 May 2016
Acknowledgments:
The author thanks Dr Xin Yan for inspiration and Dr Michael H. Wang for helpful discussions. The author is also grateful to QRFM’s General Editor, Bruce M. Burton, and a reviewer for their encouragement and insightful comments.
Copyright:
© Emerald Group Publishing Limited 2016
Published by Emerald Group Publishing Limited
Licensed re-use rights only

Çalışmanın amacı, blockchain veya türevi altyapılar kullanan kripto para birimlerinin mevcut durumunu ve geleceğini ele almaktır. Bu amaçla, ortaya çıkışından günümüze, kripto para birimlerinin teknolojik altyapı ve ekonomik model olarak evrim süreci incelenmiştir. İnceleme sürecinde kripto para piyasalarının geleceğinde etkili olacağı düşünülen faktörler, araştırma sorularına dönüştürülmüştür. Piyasa etkinliği, fiyat balonları ve piyasa manipülasyonlarına dair araştırma soruları, ilgili bölümler kapsamında analiz edilmiştir.
Kripto para piyasalarının etkinliğini sınama amacıyla, piyasa derinliği ve volatilite yapısı arasındaki ilişki, 8 kripto para birimi için asimetrik GARCH modelleri (FIGARCH, FIAPARCH, FIGARCH CHUNG, FIEGARCH, FIEGARCH BBM) kullanılarak analiz edilmiştir. Analiz bulguları, kripto para piyasalarında uzun hafıza probleminin varlığını ortaya koymaktadır. Buna ek olarak, bu piyasalarda işlem hacmi arttıkça volatilitenin azaldığı ve dolayısıyla, piyasa etkinliğinin arttığı gözlemlenmektedir.
Bu bulguları takiben, söz konusu kripto para birimlerinin fiyat serilerinde, fiyat balonlarının varlığı araştırılmıştır. Bu amaçla 8 kripto para birimi SADF testi kullanılarak analiz edilmiştir. Test sonuçlarından hareketle, fiyat seviyelerinin balon olarak nitelendirilebileceğine dair bir bulguya rastlanmamıştır.
Bitcoin piyasalarındaki fiyat sıçramalarını inceleme amacıyla, “Pump and Dump” tipi manipülasyonlardan kaynaklı sıçramalar, deneysel bir vaka analizi çalışması kapsamında ele alınmıştır. Çalışma kapsamında oluşturulan portföyde kripto para piyasalarında manipülasyonun mümkün olduğu uygulamalı olarak gözlenmiştir. Bunu takiben, manipülatif fiyat sıçramalarının yapısını tespit etme amacıyla, Bitcoin piyasası dakikalık frekansta 1.162.887 adet gözlem kullanılarak Jump-Difüzyon yöntemi ile analiz edilmiştir. Jump-Difüzyon analizi bulguları, piyasaların belirli bir derinlik seviyesini aştıktan sonra manipülasyonlara karşı bağışıklık kazandığı yönündedir.
Araştırma bulguları, mevcut kripto para piyasalarının gelişim süreci için öngörülen yapının, rasyonel piyasa dinamikleri ile çatışacak şekilde tasarlandığına dikkati çekmektedir. Belirli bir değer üretim sistemine karşılık gelecek şekilde tasarlanmış, blockchain tabanlı varlıkların piyasaya sunulmasıyla, kripto para piyasalarının yapısının değişeceği tahmin edilmektedir. Bu çalışma, güncel finans literatürünün en tartışmalı konularından birisi olan kripto para piyasalarının potansiyelini, kavramsal bir çerçeve oluşturan analizler ile test ederek tahminlemesi aracılığıyla literatüre katkı sağlamaktadır.

Sermaye piyasasında piyasa dolandırıcılığı (manipülasyon) teşkil eden eylemler, sermaye piyasasının işleyişini bozarak etkilerini ekonomik düzende gösteren ve dolayısıyla tüm topluma zarar veren eylemlerdir. Manipülasyon kavramının, dinamik yapısı sebebiyle belirli bir tanımı yapılamamaktadır. Özellikle gelişen teknolojiyle birlikte, sermaye piyasasında manipülasyon teşkil eden eylemlerin sayılarında bir artış meydana gelmiş, manipülatif işlem kalıpları karmaşıklaşmış ve ekonomiye verdikleri zarar artmıştır. Bu durum manipülasyonun tanımını yapmayı daha da zor hale  etirmiştir. Ancak, kavramın evrensel çapta kabul gören özelliklerinden yola çıkılarak, içeriği hakkında bilgi edinmek ve genel bir çerçevesini çizmek gerekmektedir. Bu genel çerçeveden hareket ederek, Sermaye Piyasası Kanunu’nun 107. maddesinde düzenlenen Piyasa Dolandırıcılığı suçunu incelemek, suçun unsurlarının daha sağlıklı bir şekilde belirlenebilmesini sağlamaktadır. Böylece, suçta ve cezada kanunilik ve belirlilik ilkelerinin gerekleri sağlanabilir.

Trade-based Market Manipulation: Judicial evolutions and Modern Challenges (Organized Trading Facilities, Algorithm Trading, High-Frequency Trading, Manipulation Facilitator)

Η χειραγώγηση της αγοράς μέσω συναλλαγών ή εντολών (trade-based market manipulation)  λαμβάνει χώρα δεδομένου του εγγενούς πληροφοριακού περιεχομένου τους για το επενδυτικό κοινό, με άμεση επίπτωση τη νόθευση της λειτουργίας της κεφαλαιαγοράς. Με αφορμή από την πρόσφατη νομολογία του Συμβουλίου της Επικρατείας, η μελέτη εστιάζει σε αμφισβητούμενα ζητήματα οριοθέτησης του αντικειμενικού και του υποκειμενικού πεδίου εφαρμογής του συγκεκριμένου (δυσχερέστερου ερμηνευτικά) τύπου χειραγώγησης, υπό το προηγούμενο (άρθρο 72 Ν. 1969/1991) και το ισχύον νομοθετικό καθεστώς (Ν. 3340/2005). Ερευνώνται ιδίως οι προϋποθέσεις επιλήψιμων συναλλαγών/εντολών, η υποκειμενική στάση του φερόμενου χειραγωγού και διαφορετικές μορφές εμπλοκής του σε επίμαχες πράξεις (manipulation facilitator actions). Η ακατάπαυστη προσαρμογή των μεθόδων συναλλαγών στις σύγχρονες εξελίξεις (εναλλακτικοί μηχανισμοί διαπραγμάτευσης, αλγοριθμικές συναλλαγές, συναλλαγές υψηλής συχνότητας κα.) θέτει παγκοσμίως πρόσθετες προκλήσεις σχετικά με την επάρκεια του υφιστάμενου θεσμικού πλαισίου κατά της χειραγώγησης. Ορισμένες από αυτές επιχειρείται να αντιμετωπιστούν μελλοντικά στο πλαίσιο της εξίσου σχολιαζόμενης Πρότασης Ευρωπαϊκού Κανονισμού για τις πράξεις κατάχρησης της αγοράς.

High-frequency trading (HFT) is a financial innovation that focuses on order flow and relies on quickly evolving information and communication technology. The innovation is successful, and HFT is highly and consistently profitable. However, the Flash Crash on 6 May 2010 exposed the unfamiliar side of HFT, thus illuminating the emergent need to unveil the negative impact that HFT has on other investors and the market. This paper examines data regarding quote-stuffing, spoofing, and market making provided by high-frequency (HF) traders, based on the increasing empirical literature. It first defines order-based manipulation (OBM) as the framework under which quote-stuffing, spoofing, and HF market making find common ground. It then provides details regarding how OBM is displayed in the three manipulation tactics. In essence, they all seek and exercise monopoly power in trading albeit through different ways of achieving it. The shared purpose is to gain monopolistic profit. The essence and common purpose explain why HF traders are not net liquidity providers, contrary to some proponents’ conclusions. Rather, this paper points out the three consequences that HF traders have brought to the market, i.e. increased volatility, increased frequency of unfairness, and instability potential. Recent regulatory improvement and completed prosecutions against manipulative HFT strategies justify the analysis.

A book that will take us to truly know this famous pyramid made up of people from times past who have carried and maintained their lineage to the present day to maintain power in the world through the political, social and economic system.
The Illuminati, the famous extremely powerful elite who own all the world's banks, organizations, governments and monarchies, are the ones who really manage every detail within the entire world organizational structure starting from the tip of the pyramid at the top. which one is satan in the lead.
The Illuminati are generational satanic bloodlines that have obtained the greatest power through the manipulation of the entire world system and of which each of them are the true "elite of Satan".

Il D.Lgs. n. 107 del 2018 ha finalmente dato seguito nel nostro Paese alla Dir. n. 2014/57/UE (c.d. MAD II) e all’annesso Reg. 596/2014 (c.d. MAR). Le modifiche introdotte perpetuano, però, difetti sistematici della disciplina antimanipolativa italiana. Non si è sciolto il nodo del cumulo punitivo che affligge tutta la materia degli abusi di mercato, né si è superato l’irragionevole scalino sanzionatorio tra la fattispecie de-littuosa e quella contravvenzionale previste dall’art. 185 T.U.F. Sullo sfondo rimane il problema della ri-costruzione processuale di questi reati come fattispecie d’evento nonostante il legislatore le abbia de-scritte come ipotesi a consumazione anticipata. Last but not least, è possibile che l’Esecutivo sia incor-so, per gli interventi penalistici in commento, in un eccesso di delega rispetto alla L. n. 163 del 2017.

This paper proposes a new model of measuring a latent variable, stock market manipulation. The model bears close resemblance with the literature on economic well-being. It interprets the manipulation of a stock as a latent variable, in the form of a multiple indicators and multiple causes (MIMIC) model. This approach exploits systematic relations between various indicators of manipulation and between manipulation and multiple causes, which allows it to identify the determinants of manipulation and an index of manipulation simultaneously. The main reason of stock market manipulation comes from the fact that information availability is not universally equal. The manipulation is thus critically linked to the creation, arrival and dissemination of information or rumors/mis-information. Thus, the immediate impact of manipulation is on the time profile of returns, or excess returns, from an asset and the excess volatility of returns in excess of the volatility explained by the fundamentals. In this basic setup, the model used these two variables as the indicators of stock market manipulation. The main intuition of the MIMIC approach is that some variables, or statistics, related to peace are indicators of manipulation, while others signify effects or outputs of causal factors, or inputs, of manipulation. In other words, distinction can be made between causes of manipulation and indicators of manipulation. The causal factors used in this model are classified into five different domains namely pure economic factors as determinants of manipulation, labor market conditions, international factors, quality of governance factors and systematic risk factors.

Abstract Insider trading: The words alone evoke conflicting feelings of jealousy and greed. But what is wrong with insider trading? Nothing. In fact, insider trading is good for the economy. Insider trading results in an efficient allocation of capital and thus makes the world wealthier.

This article analyses the offences comprising disclosure-based market manipulation in South Africa under the Securities Services Act 36 of 2004. Disclosure-based market manipulation entails the dissemination of inaccurate information relating to the demand, supply, price or value of a security. The defences to market manipulation are also examined, as well as the penalties for committing the offence of market manipulation. This article argues that while the statutory provisions regulation market manipulation are commendably internationally competitive a potential weakness off South African’s market manipulation regime is the paucity of defences to market manipulation, which could easily discourage legitimate trading. A further more serious weakness is the absence of a statutory civil remedy for market manipulation, which could have the effect of not effectively deterring persons from engaging in market manipulation and of denying victims of market manipulation the opportunity to recover their losses.

Abnormal Return Phenomenon at Market on Close and Intraday Trading: A Review of Market Microstructure. This article is a review of abnormal return phenomenon of capital at market on close that has formed standard pattern at all global equity market, including Indonesia Stock Exchange (IDX). Purpose of this article is to find why this phenomenon can be happened consistently and how it is correlated with intraday trading activity. The main focus of this article is try to explain how intraday trading activity increase so fast that created abnormal return at market on close. On the last 5-15 minutes of market trading, always happened disproportional fraction of intraday various return. Besides the increasing of intraday activity, there is indicated order imbalance that pressure price to up direction because buyer-initiated is stronger than seller-initiated. Intraday trading was dominated by block trading by institutional investors. Furthermore, some recent research finds gaming and price manipulation by big traders especially. Abstrak Artikel ini merupakan kajian fenomena abnormal return pada market on close yang sudah membentuk pola baku (standard pattern) pada setiap pasar modal global termasuk Bursa Efek Indonesia. Fokus masalah artikel ini adalah menjelaskan adanya peningkatnya aktivitas perdagangan secara signifikan yang menyebabkan imbal hasil abnormal pada setiap penutupan pasar. Pada 5-15 menit terakhir perdagangan bursa, selalu terjadi fraksi yang disproporsional dari variasi imbal hasil saham harian yang ada. Disamping peningkatan aktivitas perdagangan, terdapat juga indikasi munculnya order imbalance yang berpotensi menyebabkan kenaikan harga yang semakin kuat. Pergerakan harga dipicu oleh imbalance order dimana buyer-initiated lebih kuat dari seller-initiated. Volume transaksi dan tekanan order imbalance meningkat tajam dalam hitungan menit saja jelang penutupan pasar, ternyata didominasi oleh block trading dari investor institusional untuk menjaga nilai aktiva bersih portofolio. Ditemukan juga unsur permainan (gaming) dan manipulasi harga (price manipulation), baik action-based maupun trade-based manipulation yang dilakukan pihak tertentu.

We examine the impact of stock exchange trading rules and surveillance on the frequency and severity of suspected insider trading cases in 22 stock exchanges around the world over the period January 2003 - June 2011. Using new indices for market manipulation, insider trading, and broker-agency conflict based on the specific provisions in the trading rules of each stock exchange, along with surveillance of such rules, we show that more detailed exchange trading rules and surveillance over time and across markets significantly reduce the number of cases but increase the profits per case.