2 papers
q-fin.TR2025
Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks
Timothée Fabre, Damien Challet
This paper investigates real-time detection of spoofing activity in limit order books, focusing on cryptocurrency centralized exchanges. We first introduce novel order flow variabl…
stat.ME2025
High-Frequency Market Manipulation Detection with a Markov-modulated Hawkes process
Timothée Fabre, Ioane Muni Toke
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting ass…