IDENTIFICATION OF TRADING ACTIVITIES OF ENTITIES ACTING IN CONCERT

摘要

Market participants that are ostensibly unrelated but acting in concert are identified using vector algebra. Position data for the market participants is collected using the large trader reporting system or through another method. The position data includes the position for a specific financial derivative for each of the market participants. Information derived from position data is used to populate a vector for each market participant. At least one pair of vectors is analyzed by calculating a parallel score indicative of an angle between the two vectors. The parallel score may be a cosine of the angle. The parallel score may be compared to a threshold parallel score to determine the likelihood that the pair of market participants are acting in concert. The threshold parallel score differs from market to market and may be determined by analyzing the distribution of parallel scores for the specific market.