A velocity-based autoencoder detects 10 of 10 regulator-identified manipulation days in BANKNIFTY options, and a pump-reversal shape score ranks alleged U.S. equity manipulation days with AUCs of 0.91 and 0.81.
Schrager, Srijan Sood, Jared Vann, and Manuela Veloso
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Velocity- and Regime-Aware Detection of Intraday Options Market Manipulation, with Explainable Attribution
A velocity-based autoencoder detects 10 of 10 regulator-identified manipulation days in BANKNIFTY options, and a pump-reversal shape score ranks alleged U.S. equity manipulation days with AUCs of 0.91 and 0.81.