حل جرایم مدرن در بازارهای مالی: تحلیل‌ها و مطالعات موردی

This comprehensive source of information about financial fraud delivers a mature approach to fraud detection and prevention. It brings together all important aspect of analytics used in investigating modern crime in financial markets and uses R for its statistical examples. It focuses on crime in financial markets as opposed to the financial industry, and it highlights technical aspects of crime detection and prevention as opposed to their qualitative aspects. For those with strong analytic skills, this book unleashes the usefulness of powerful predictive and prescriptive analytics in predicting and preventing modern crime in financial markets. Interviews and case studies provide context and depth to examples Case studies use R, the powerful statistical freeware tool Useful in classroom and professional contexts Solving Modern Crime in Financial Markets Copyright Preface Prologue Acknowledgments David Lee Kuo Chuen: Interview Biography Laura Hutton: Interview Biography Innovation and Crime. Background Technology Leveraged by Crime Crime-Driven Technology Outlook High-Frequency Trading Background Market Manipulation HFT and Structured Products: Renaissance Technologies Outlook Commodities Markets Background Physical vs. Futures Market Manipulation in Metals Gold and Silver Fixings Cartel on Silver Futures Agricultural Markets Tax Fraud and Money Laundering Outlook Social Networks and Financial Crime Background Social Media—The Fifth Element Market Manipulation and Social Media Social Media as a Crime Vector How Far Can the Misuse of Social Media Go? Outlook Cryptocurrencies: A New Monetary Vehicle. Background Bitcoin: Welcome to the Matrix Is Bitcoin a New Currency, a New Commodity, or a New Right? Bitcoin and Market Efficiency Bitcoin Rush Legal Status Digital Currencies have a Dark Past E-Gold Liberty Reserve Financial Risk Assessment Classic Crimes in the Cryptocurrency Economy Theft Money Laundering Rogue Exchanges Bitcoin Exchanges Collapsing Bitcoin Investment Scam Cryptomoney Specific Crime Real Scams in the Virtual World: Hardware Bitcoin Derivatives Stealing GigaBits Cryptoclipping Rogue Mining Pools Bitcoin's Neo Cryptocurrency Surveillance Outlook The Link Between the Betting Industry and Financial Crime Background Betting Market An Incomplete and Inefficient Market Sport Betting and Financial Crime Match Rigging Sumo rigging as a cartel Organized crime ties Italian Calcioscommesse Australian Focus Turkish Football Fixed Games England Conference International Matches Betting and Money Laundering Odds Manipulation Modeling Association Football Outcomes Detection of Rigged Matches American Football Outlook Truth: A Game of Probabilities Outlook Statistical Distributions Financial Asset Dynamics Generalized Hyperbolic Models Volatility Models Generalized AutoRegressive Conditionally Heteroscedastic (GARCH) Model Model Estimation Outlook Forecasting Densities Background Tests for Forecasting Densities Model-Free Forecasts Vuong's Test for Comparing Two Distributions Weighted Logarithmic Scoring Test Threshold Weighting Test Application in Misconduct Risk Mitigation and Fraud Assessment P&L Profile Securities Fraud Outlook Genetic Algorithms Background Application in Optimization Examples Concordance Metrics Multi-Objective Optimization Outlook Statistical Hypothesis Tests Background Fisher vs. Neyman-Pearson Fallacies of Hypothesis Test Science and Hypothesis Test Effect Size Resampling-Based Tests Outlook Non-Parametric Techniques Background Kernel Density Estimation Non-Parametric Regression Classification and Regression Trees Classification Trees Regression Trees Application to IPO litigation k Nearest Neighbors Outlier Detection Outlook Fuzzy Methods Background Methods Fuzzy Inference Systems Fuzzy c-Means Outlook Clustering Techniques Background Clustering Algorithms K-Means Expectation Maximization Algorithm Clustering for Big Data Outliers Detection Clustering in Financial Crime Detection Outlook Support Vector Machines Background Algorithm Overview Linear SVM Linear Non-Separable SVM Nonlinear SVM Multi-Class SVM Performance Assessment of the SVM Cross-Validation Bootstrapping SVM Optimism Applications of the SVM Outlook Determining the Accuracy of a Fraud-Detection Model Background The Gini Coefficient Philosophy: From Measuring Income Repartition Injustice to Rating Model Validation Resampling Approach Bootstrap Approach Jackknife Approach Ordinary Least-Squared Approach Mann-Whitney Approach F-Gini Approach Numeric Application Focus on the Size of Portfolio Outlook Benford's Law Background Application to Fraud on SecuritiesMarkets Testing Benford Law Pearson's χ2 Fit Test Euclidean Distance Test Joenssen's JP-Square Test Kolmogorov-Smirnov Chebyshev Distance Test Mean Deviation Test Freedman-Watson Test Application to the LIBOR Manipulation Outlook Structural Changes in Time Series Background Overview of Structural Break Tests Application to Securities Class Actions Initial Public Offering Misleading Statements Pump and Dump Outlook Exploring Unstructured Data. Background Principles of Text Exploration Part-of-Speech Tagging Tagging with Hidden Markov Model Conditional Random Fields Semantic Role Labeling Sentiment Analysis Unsupervised Learning Supervised Learning Naive-Bayes-Based Classifiers Support Vector Machine Applications in Financial Crime Outlook Understanding the Balance Sheets of Financial Firms Background (Un)fair Value Trading Books and Profitability Banks' Revenue and Size of the Mark-to-Model Portfolio Trading ROE and Mark-to-Model Mark-to-Model vs. Mark-to-Misrepresentation Counterparty Risk Measure and Balance Sheet Outlook Fraud on the Market Theory Background Basic's Basics Fund vs. Haliburton Drivers for Fraud on the Market Theory Settlement: A Quest for Efficiency Outlook Efficient Market Hypothesis Testing Background Statistical Tests Testing Bubbles Outlook Market Prices and Trading Activity Background High-Frequency Trading Focus Dark Pools Manipulation Opportunities in Over-the-Counter Markets Outlook Order Book Analysis Background Model the Order Book Dynamics Application to a NASDAQ Stock Order Book Outlook Event Study Background Methodology Event Study Models Statistical Tests Abnormality Metrics Hypothesis Tests Long-Term Impact Co-Integration Tests Case Studies Outlook LIBOR Manipulation. Background Why Manipulate LIBOR? Manipulating the Derivatives Mark-to Market Manipulation During the Liquidity Crisis Methodological Forensic Considerations Statistic Results Simulation: What was the true LIBOR? Impact of the LIBOR Manipulation Impact on OTC Derivatives U.S. Government Agencies' Debt LIBOR Bubble Outlook EURIBOR Manipulation. Background Architecture of a Continuous Criminal Enterprise Methodological Considerations Concordance Agreement in the Panel Submissions Fixing the Forward-Rate Curve ``True'' EURIBOR Collateral Impact of the EURIBOR Manipulation Deposits Toxic Credit Products Eurozone Crisis Review of Penalties Applied to Various Banks Outlook The Madoff Case. Background Markopulos's Warnings Performance Metrics Bias Ratio Discontinuity in Zero Test Ponzi Scam Test Relationship with Other Hedge Fund Markets Benford's Law Such a Big Cake for so Few People Outlook Enron-WorldCom. Background WorldCom Enron A Silent Scam Enron the ``Goldman Sachs'' of Energy Trading Warning Signs Andersen Background The Fall Aftermath Outlook Rating Agencies and Crisis. Background Securitized Subprime Residential Mortgages Eurozone Crisis Statistical Tools for Assessing the Credit Rating Outlook The FX Fixing Fix. Background Architecture of the Fixing Statistical Assessment Intra-Day Volatility Peak Detection Intra-Day Trading Based on Timing Impact on the Real Economy Customer Opportunity Costs Asian Currencies Algo Trading Derivatives Transactions Aftermath Outlook The Case of Greenhouse Gas Emission Allowances Market. Background VAT Fraud on Carbon Markets Mechanism Econometric Features Break Down of the VAT Fraud-Extorted Funds Money Laundering Mechanism Estimate of Laundered Funds Outlook Pros and Cons of Stronger Financial Regulation?. Background Can Banking Regulation Reduce the Risk of Misconduct? Tax on Financial Transactions Outlook Efficient Frameworks for Financial Crime Surveillance. Background Big Data Dilemma Efficient Framework Joint Structures for Tackling Financial Offenses: Criminal Investigators and Market Regulators. Epilogue Bibliography Index A B C D E F G H I J K L M N O P R S T U V W Z

This comprehensive source of information about financial fraud delivers a mature approach to fraud detection and prevention. It brings together all important aspect of analytics used in investigating modern crime in financial markets and uses R for its statistical examples. It focuses on crime in financial markets as opposed to the financial industry, and it highlights technical aspects of crime detection and prevention as opposed to their qualitative aspects. For those with strong analytic skills, this book unleashes the usefulness of powerful predictive and prescriptive analytics in predicting and preventing modern crime in financial markets.

• Interviews and case studies provide context and depth to examples
• Case studies use R, the powerful statistical freeware tool
• Useful in classroom and professional contexts

Annotation This comprehensive source of information about financial fraud delivers a mature approach to fraud detection and prevention. It brings together all important aspect of analytics used in investigating modern crime in financial markets and uses R for its statistical examples. It focuses on crime in financial markets as opposed to the financial industry, and it highlights technical aspects of crime detection and prevention as opposed to their qualitative aspects. For those with strong analytic skills, this book unleashes the usefulness of powerful predictive and prescriptive analytics in predicting and preventing modern crime in financial markets