Financial Data Mining

General Methodologies

• Philip S YU, Longbing Cao, Chao Luo, Yuming Ou, Dan Luo, Chengqi Zhang. Domain-driven Abnormal Trading Behavior Analysis Involving Investor Belief, Desire and Intention, ACM Transactions. Intelligent System and Technology.
• Longbing Cao Yuming Ou. Market Microstructure Patterns Powering Trading and Surveillance Agents. Journal of Universal Computer Sciences, 2008.
• Cao, L. & Ou, Y. 2008, 'Market Microstructure Patterns Powering Trading and Surveillance Agents', The Journal of Universal Computer Science, vol.14, no. 14, pp.2288-2308.

Analytics for Market Manipulation

• Longbing Cao, Yuming Ou, Philip S YU, Gang Wei. Detecting Abnormal Coupled Sequences and Sequence Changes in Group-based Manipulative Trading Behaviors, KDD2010.
• Allen, F. & Gale, D., 'Stock-price manipulation', The Review of Financial Studies, vol. 5, no. 3, 1992, pp. 503-529
• Buta, P. & Barletta, R., 'Case-based reasoning for market surveillance', Proceedings of the First International Conference on Artificial Intelligence Applications on Wall Street, 1991, pp. 116-121.
• Fast, A., Friedland, L., Maier, M., Taylor, B., Jensen, D., Goldberg, H.G. & Komoroske, J., 'Relational data pre-processing techniques for improved securities fraud detection', the 13th ACM SIGKDD international conference on Knowledge discovery and data mining, ACM Press, 12-15 August, 2007 San Jose, California, USA, pp. 941-949.
• Micocci, M., 'The use of Markov discontinuous processes in the pricing of derivative securities: the application of APL', ACM 1999, pp. 228-232
• Neville, J., Simsek, O., Jensen, D., Komoroske, J., Palmer, K. & Goldberg, H., 'Using relational knowledge discovery to prevent securities fraud', the eleventh ACM SIGKDD international conference on Knowledge discovery in data mining, 21-24, ACM Press, 2005 August, Chicago, Illinois, USA , pp. 449-458.
• Yuming Ou, Longbing Cao, Chao Luo and Li Liu. Mining Exceptional Activity Patterns in Microstructure Data, WI2008.
• Ou, Y.M., Cao, L.B, Yu, T. & Zhang, C.Q. 2007, 'Detecting Turning Points of Trading Price and Return Volatility for Market Surveillance Agents', Agents and Data Mining Workshop (ADMI2007), the 2007 IEEE/WIC/ACM International Conferences on Web Intelligence and Intelligent Agent Technology, Silicon Valley, USA, November 2-5, 2007
• Palshikar, G.K. & Apte, M.M, 'Collusion set detection using graph clustering', Data Mining and Knowledge Discovery', Vol. 14, No. 3. 2007
• Qi, H. & Wang, J., 'A model for mining outliers from complex data sets', The 2004 ACM symposium on Applied computing, ACM Press, 14-17 March, 2004, Nicosia, Cyprus, pp. 595-599.
• Safer, A. M.,'Predicting Abnormal Stock Returns with a Nonparametric Nonlinear Method' pp. 1833-1837
• Yu, T., Cao, L.B., Ou, Y.M. & Zhang, C.Q. 2007, 'Segmentation algorithms in high frequency time-series data', 6th International Conference on Computational Intelligence in Economics & Finance, The 2007 International Joint Conference on Information Science (JCIS 2007), Salt Lake City, Utah, USA, July 18 -24, 2007.
• Chao Luo, Yanchang Zhao, Longbing Cao, Yuming Ou and Chengqi Zhang. Exception Mining on Multiple Time Series in Stock Market, WI-IAT 08 Workshops, pp. 690-693.
• Chao Luo, Yanchang Zhao, Longbing Cao, Yuming Ou and Li Liu. Outlier Mining on Multiple Time Series Data in Stock Market, PRICAI2008, pp. 1010-1015.
• Ou, Y., Cao, L., Luo, C. & Zhang, C. 2008b, 'Domain-Driven Local Exceptional Pattern Mining for Detecting Stock Price Manipulation', Proceedings of 10^th Pacific Rim International Conference on Artificial Intelligence, Hanoi, Vietnam, December 15-19, 2008, Springer, pp. 849-858.

Analytics for Insider Trading

• Donoho, S., 'Early detection of insider trading in option markets', the tenth ACM SIGKDD international conference on Knowledge discovery and data mining, ACM Press, 22-25, August 2004, Seattle, WA, USA. pp. 420-429.
• Ting Yu, Longbing Cao, Yuming Ou, Chengqi Zhang. SEGMENTATION ALGORITHMS IN HIGH FREQUENCY TIME-SERIES DATA, CIEF2007.
• Ou, Y., Cao, L., Yu, T. & Zhang, C. 2007, 'Detecting Turning Points of Trading Price and Return Volatility for Market Surveillance Agents', Web Intelligence/IAT Workshops 2007, pp. 491-494.