基于频繁项集和高效用项集挖掘的银行间市场对倒交易检测
THE DETECTION OF WASH SALES IN INTERBANK MARKET BASED ON FREQUENT ITEMSETS AND HIGH UTILITY ITEMSETS MINING
刘丹 1金天成 1窦亮 1肖春芸 1詹杭龙 2卢艳民2
作者信息
- 1. 华东师范大学计算机科学与技术学院 上海 200062
- 2. 中汇信息技术(上海)有限公司 上海 201203
- 折叠
摘要
传统的银行间市场对倒交易检测采用直接建立规则的方法,忽略了对倒交易的策划性、协同性和交易主体的差异性,存在运行时间长、效率低和滞后性等问题.基于频繁项集和高效用项集挖掘找到多次共同交易的群体,结合对倒交易模式检测出对倒交易链.实验结果表明,该方法识别率高于 97%,且检测时间减少了 45%,在效率上有明显的提高,对检测对倒交易有一定的预判指导意义.
Abstract
The traditional detection of wash sale in interbank market ignores the strongly planning,cooperation of wash sale and the difference between transaction subjects,and has the limitations of long running time,low efficiency and lag.In view of the problems,this paper introduced frequent itemsets and high utility itemsets to find out the trading groups who have participated in transaction together in many times,and detected the wash sale chain combining with its mode.The experiments show that the proposed method can recognize more than 97%of all wash sales and the detection time is reduced by 45%.The efficiency of detection is significantly improved.This work has a certain guiding significance for the detection of wash sale.
关键词
对倒交易/数据挖掘/高效用项集/频繁项集/市场操纵Key words
Wash sale/Data mining/High utility itemsets/Frequent itemsets/Market manipulation引用本文复制引用
出版年
2024
国家科技期刊平台
NSTL
万方数据