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CommodityQuant
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Posts: 57
Joined: July 5th, 2007, 6:16 am

Trade Surveillance

December 17th, 2022, 3:33 pm

Any info on resources (preferably free so that I can read them now) on market abuse?  My starting point is the ESMA documents -- for example https://www.esma.europa.eu/sites/defaul ... 15-224.pdf  The language is often vague and the documents are bureaucratic rather than quant-useful so I'm looking for info on how these regulation are treated in pratice.  Thank You.
 
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Joined: February 21st, 2010, 12:58 pm

Re: Trade Surveillance

December 17th, 2022, 5:26 pm

hi CQ. what kind of trading acitivities does "quant" in your question refer to, please?
 
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CommodityQuant
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Posts: 57
Joined: July 5th, 2007, 6:16 am

Re: Trade Surveillance

December 17th, 2022, 5:30 pm

hi CQ. what kind of trading acitivities does "quant" in your question refer to, please?
There are various market abuse activities discussed in ESMA documents for example insider-trading, marking the close etc.
Trade Surveillance quants use quantitative methods to write code to assess whether it is likely that certain trades abused the
market according to ESMA criteria.
 
CarterMcCoy
Posts: 65
Joined: May 12th, 2020, 5:03 pm

Re: Trade Surveillance

January 4th, 2023, 5:17 pm

I have a number of documents that I'll look for this evening.  I implemented a MAR-Trade Surveillance system in 2018!
 
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CommodityQuant
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Posts: 57
Joined: July 5th, 2007, 6:16 am

Re: Trade Surveillance

January 4th, 2023, 9:44 pm

I have a number of documents that I'll look for this evening.  I implemented a MAR-Trade Surveillance system in 2018!
Thank you so much, Carter!