On detecting spoofing strategies in high-frequency trading

Xuan Tao, Andrew Day, Lan Ling and Samuel Drapeau

Quantitative Finance, 2022, vol. 22, issue 8, 1405-1425

Abstract: The optimal strategy of a potential spoofer is described and applied to Level 2 data on TMX

Date: 2022
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DOI: 10.1080/14697688.2022.2059390

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