Stock market information disclosure and risk management in the perspective of data fusion——Take market manipulation identification as an example
The stock market, one of the most important trading platforms, has been subject to many market manipulation practices since its emergence. At present, the phenomenon of market manipulation has become an obstacle that restricts the development of the stock market. Based on the data fusion background,...
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| Veröffentlicht in: | Procedia computer science Jg. 221; S. 1539 - 1546 |
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Elsevier B.V
2023
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| Abstract | The stock market, one of the most important trading platforms, has been subject to many market manipulation practices since its emergence. At present, the phenomenon of market manipulation has become an obstacle that restricts the development of the stock market. Based on the data fusion background, this paper conducts a study on the A-share listed companies publicly investigated and confirmed as market manipulation by CSRC in China from 2018-2022 as a manipulation sample under the perspective of fusion of data, model and decision, to provide theoretical support for regulators to identify market manipulation under the new trend. The results show that: ① Comparing with single financial data, different types of models respond to text indicators significantly differently. More than that, a reasonable addition of text dimensions can optimize the model performance; ② Comparing with a single base classifier, integrated models generally have better recognition performance. In addition, this effect can be deeply improved with the diversification of the base classifier. |
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| AbstractList | The stock market, one of the most important trading platforms, has been subject to many market manipulation practices since its emergence. At present, the phenomenon of market manipulation has become an obstacle that restricts the development of the stock market. Based on the data fusion background, this paper conducts a study on the A-share listed companies publicly investigated and confirmed as market manipulation by CSRC in China from 2018-2022 as a manipulation sample under the perspective of fusion of data, model and decision, to provide theoretical support for regulators to identify market manipulation under the new trend. The results show that: ① Comparing with single financial data, different types of models respond to text indicators significantly differently. More than that, a reasonable addition of text dimensions can optimize the model performance; ② Comparing with a single base classifier, integrated models generally have better recognition performance. In addition, this effect can be deeply improved with the diversification of the base classifier. |
| Author | Liu, Zhidong Li, Aihua Yao, Sihan |
| Author_xml | – sequence: 1 givenname: Sihan surname: Yao fullname: Yao, Sihan organization: School of Management Science and Engineering, Central University of Finance and Economics, Beijing 100080, P.R. China – sequence: 2 givenname: Aihua surname: Li fullname: Li, Aihua email: aihuali@cufe.edu.cn organization: School of Management Science and Engineering, Central University of Finance and Economics, Beijing 100080, P.R. China – sequence: 3 givenname: Zhidong surname: Liu fullname: Liu, Zhidong organization: School of Management Science and Engineering, Central University of Finance and Economics, Beijing 100080, P.R. China |
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| Cites_doi | 10.2139/ssrn.474582 10.2307/2331322 10.1016/j.inffus.2019.12.001 10.1007/s00521-020-05531-0 10.2307/1341697 10.1016/S1042-444X(98)00052-8 10.1093/rfs/5.3.503 |
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| Keywords | data fusion market manipulation integration algorithms machine learning information disclosure |
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| Title | Stock market information disclosure and risk management in the perspective of data fusion——Take market manipulation identification as an example |
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