Cholewiński, Radosław - In: Central European Journal of Economic Modelling and … 1 (2009) 3, pp. 261-284
This paper develops a new model of market abuse detection in real time. Market abuse is detected, as Minenna (2003) proposed, on the basis of prediction intervals. The model structure is based on the discrete-time, extended market model introduced by Monteiro, Zaman, Leitterstorf (2007) to...