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Course Calendar Course Calendar

Market Abuse and Trade Surveillance

Day One

Introduction

  • What is surveillance?
    • Communications surveillance
    • Trade surveillance
    • Market surveillance
  • Detection vs. prevention
  • The 3 lines of defence
  • The regulatory environment
    • Summary
    • Conduct, culture and intent
    • Regulatory fines
  • 26 ways to manipulate the market

Case Study: Front-running in FX – The Mark Johnson case

The View from the Trading Floor

  • The evolution of markets
  • Market structure
  • Electronic trading

Case Study: Spoofing, layering and the S&P flash crash

Surveillance Regulations

  • MAR II
    • Trades vs. orders
    • Attempted market manipulation
  • MiFID II
    • Surveillance
    • Algorithmic trading
    • Record keeping
  • Dodd-Frank
  • FCA/PRA
    • PRA 5/18
    • Benchmarks
  • SMCR
  • AFME
  • FX Code of Conduct

Case Study: Attempted manipulation – ISDAfix

Case Study: What is not manipulation – Market inefficiencies


Day Two

Data Science for Surveillance

  • Structured data vs. unstructured data
  • Trade data vs. market data
  • Metadata

Methods of Detection

  • Communications
    • Voice
    • Email
    • Chat
  • Trade
    • Voice
    • Electronic
    • Trade and transaction reporting
  • Market
    • Venues: RM, ECN, MTF, OTF
    • Overall market: aggregated or market reference
    • Benchmarks, data providers
    • Linked markets: correlated or components (e.g. FX for equities)
  • Holistic

Case Study: Benchmark manipulation – LIBOR

Case Study: FX WM FIX – Over-sharing of information

Advanced Surveillance Techniques

  • Machine Learning in surveillance
  • Behavioural analysis
  • Surveilling the clients
  • The future of surveillance

Rapid Case Studies

  • Dark pools
  • FX Last look
  • Gilts manipulation
  • Wash trades
  • Cross-market spoofing
  • Fines for Compliance failures


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