Market Abuse and Trade Surveillance*

This course looks in detail at some recent surveillance case studies and investigates what happened, how it was detected and the consequences. These case studies provide the motivation to understand methods of surveillance and the relevant regulations.

The first day of the programme begins with a summary of different types of surveillance and outlines various forms of market manipulation. We then examine surveillance regulation with examples from recent years. Case studies look at examples of front-running and spoofing as well as attempted manipulation and an example that was ruled not to be market manipulation in court.

Day two examines methods of detecting all forms of market manipulation before a detailed discussion on benchmark manipulation. We finish with a look at more advanced forms of surveillance and conclude by describing several further examples of market abuse.

*The course outline and dates are subject to change. Please contact us for more details.

• Compliance teams
• Internal audit
• Legal teams
• First line of defence
• Risk managers
• Traders and sales
• Technology and data scientists

• Gain familiarity with the various forms surveillance can take
• Distinguish between different methods of market manipulation and market abuse
• Learn how different regulators approach market manipulation and current regulatory requirements
• Analyse market manipulation and regulatory enforcement through the lens of many real-world examples
• Learn how different surveillance techniques are applied to structured and unstructured data
• Look into more advanced surveillance techniques and discuss the future of surveillance

A basic understanding of capital markets and securities trading.

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

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

*The course outline and dates are subject to change. Please contact us for more details.