英文标题：
《Market Manipulation as a Security Problem》
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作者：
Vasilios Mavroudis
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最新提交年份：
2019
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英文摘要：
  Order matching systems form the backbone of modern equity exchanges, used by millions of investors daily. Thus, their operation is strictly controlled through numerous regulatory directives to ensure that markets are fair and transparent. Despite these efforts, market manipulation remains an open problem.   In this work, we focus on a class of market manipulation techniques that exploit technical details and glitches in the operation of the exchanges (i.e., mechanical arbitrage). Such techniques are used by predatory traders with deep knowledge of the exchange\'s structure to gain an advantage over the other market participants. We argue that technical solutions to the problem of mechanical arbitrage have the potential to significantly thwart these practices. Our work provides the first overview of the threat landscape, models fair markets and their security assumptions, and discusses various mitigation measures.
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中文摘要：
订单匹配系统是现代股票交易所的支柱，每天有数百万投资者使用。因此，它们的运作受到众多监管指令的严格控制，以确保市场公平和透明。尽管做出了这些努力，市场操纵仍然是一个悬而未决的问题。在这项工作中，我们重点关注一类利用交易所运营中的技术细节和故障的市场操纵技术（即机械套利）。这些技术被对交易所结构有深入了解的掠夺性交易者所使用，以获得相对于其他市场参与者的优势。我们认为，机械套利问题的技术解决方案有可能严重阻碍这些做法。我们的工作首先概述了威胁形势，对公平市场及其安全假设进行了建模，并讨论了各种缓解措施。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Computer Science        计算机科学
二级分类：Cryptography and Security        密码学与安全
分类描述：Covers all areas of cryptography and security including authentication, public key cryptosytems, proof-carrying code, etc. Roughly includes material in ACM Subject Classes D.4.6 and E.3.
涵盖密码学和安全的所有领域，包括认证、公钥密码系统、携带证明的代码等。大致包括ACM主题课程D.4.6和E.3中的材料。
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