A Deep Learning Approach to Anomaly Detection in High-Frequency Trading Data

• URL: http://arxiv.org/abs/2504.00287v1
• Date: Mon, 31 Mar 2025 23:14:31 GMT
• Title: A Deep Learning Approach to Anomaly Detection in High-Frequency Trading Data
• Authors: Qiuliuyang Bao, Jiawei Wang, Hao Gong, Yiwei Zhang, Xiaojun Guo, Hanrui Feng,
• Abstract summary: This paper proposes an algorithm based on a staged sliding window Transformer architecture to detect abnormal behaviors in the microstructure of the foreign exchange market.<n>The method captures multi-scale temporal features through a staged sliding window, extracts global and local dependencies by combining the self-attention mechanism and weighted attention mechanism of the Transformer.
• Score: 12.06584491356733
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: This paper proposes an algorithm based on a staged sliding window Transformer architecture to detect abnormal behaviors in the microstructure of the foreign exchange market, focusing on high-frequency EUR/USD trading data. The method captures multi-scale temporal features through a staged sliding window, extracts global and local dependencies by combining the self-attention mechanism and weighted attention mechanism of the Transformer, and uses a classifier to identify abnormal events. Experimental results on a real high-frequency dataset containing order book depth, spread, and trading volume show that the proposed method significantly outperforms traditional machine learning (such as decision trees and random forests) and deep learning methods (such as MLP, CNN, RNN, LSTM) in terms of accuracy (0.93), F1-Score (0.91), and AUC-ROC (0.95). Ablation experiments verify the contribution of each component, and the visualization of order book depth and anomaly detection further reveals the effectiveness of the model under complex market dynamics. Despite the false positive problem, the model still provides important support for market supervision. In the future, noise processing can be optimized and extended to other markets to improve generalization and real-time performance.

Related papers

• RAAD-LLM: Adaptive Anomaly Detection Using LLMs and RAG Integration [2.879328762187361]
  We present RAAD-LLM, a novel framework for adaptive anomaly detection.<n>By effectively utilizing domain-specific knowledge, RAAD-LLM enhances the detection of anomalies in time series data.<n>Results show significant improvements over our previous model with an accuracy increase from 70.7% to 88.6% on the real-world dataset.
  arXiv  Detail & Related papers  (2025-03-04T17:20:43Z)
• A Hybrid Framework for Statistical Feature Selection and Image-Based Noise-Defect Detection [55.2480439325792]
  This paper presents a hybrid framework that integrates both statistical feature selection and classification techniques to improve defect detection accuracy. We present around 55 distinguished features that are extracted from industrial images, which are then analyzed using statistical methods. By integrating these methods with flexible machine learning applications, the proposed framework improves detection accuracy and reduces false positives and misclassifications.
  arXiv  Detail & Related papers  (2024-12-11T22:12:21Z)
• Research on Optimizing Real-Time Data Processing in High-Frequency Trading Algorithms using Machine Learning [19.43972851292453]
  The objective of this work is to optimise the real-time processing of data in high-frequency trading algorithms.<n>The dynamic feature selection mechanism is responsible for monitoring and analysing market data in real time.<n>The lightweight neural networks are designed in a modular fashion, comprising fast convolutional layers and pruning techniques.
  arXiv  Detail & Related papers  (2024-12-02T02:46:10Z)
• Towards Resource-Efficient Federated Learning in Industrial IoT for Multivariate Time Series Analysis [50.18156030818883]
  Anomaly and missing data constitute a thorny problem in industrial applications. Deep learning enabled anomaly detection has emerged as a critical direction. The data collected in edge devices contain user privacy.
  arXiv  Detail & Related papers  (2024-11-06T15:38:31Z)
• Cross-Modal Learning for Anomaly Detection in Complex Industrial Process: Methodology and Benchmark [19.376814754500625]
  Anomaly detection in complex industrial processes plays a pivotal role in ensuring efficient, stable, and secure operation. This paper proposes a cross-modal Transformer to facilitate anomaly detection by exploring the correlation between visual features (video) and process variables (current) in the context of the fused magnesium smelting process. We present a pioneering cross-modal benchmark of the fused magnesium smelting process, featuring synchronously acquired video and current data for over 2.2 million samples.
  arXiv  Detail & Related papers  (2024-06-13T11:40:06Z)
• PeFAD: A Parameter-Efficient Federated Framework for Time Series Anomaly Detection [51.20479454379662]
  We propose a. Federated Anomaly Detection framework named PeFAD with the increasing privacy concerns. We conduct extensive evaluations on four real datasets, where PeFAD outperforms existing state-of-the-art baselines by up to 28.74%.
  arXiv  Detail & Related papers  (2024-06-04T13:51:08Z)
• Self-supervised Feature Adaptation for 3D Industrial Anomaly Detection [59.41026558455904]
  We focus on multi-modal anomaly detection. Specifically, we investigate early multi-modal approaches that attempted to utilize models pre-trained on large-scale visual datasets. We propose a Local-to-global Self-supervised Feature Adaptation (LSFA) method to finetune the adaptors and learn task-oriented representation toward anomaly detection.
  arXiv  Detail & Related papers  (2024-01-06T07:30:41Z)
• ADT: Agent-based Dynamic Thresholding for Anomaly Detection [4.356615197661274]
  We propose an agent-based dynamic thresholding (ADT) framework based on a deep Q-network. An auto-encoder is utilized in this study to obtain feature representations and produce anomaly scores for complex input data. ADT can adjust thresholds adaptively by utilizing the anomaly scores from the auto-encoder.
  arXiv  Detail & Related papers  (2023-12-03T19:07:30Z)
• DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions [53.37679435230207]
  We propose DeepVol, a model based on Dilated Causal Convolutions that uses high-frequency data to forecast day-ahead volatility. Our empirical results suggest that the proposed deep learning-based approach effectively learns global features from high-frequency data.
  arXiv  Detail & Related papers  (2022-09-23T16:13:47Z)
• Rethinking Attention Mechanism in Time Series Classification [6.014777261874646]
  We promote the efficiency and performance of the attention mechanism by proposing our flexible multi-head linear attention (FMLA) We propose a simple but effective mask mechanism that helps reduce the noise influence in time series and decrease the redundancy of the proposed FMLA. We conduct extensive experiments on 85 UCR2018 datasets to compare our algorithm with 11 well-known ones and the results show that our algorithm has comparable performance in terms of top-1 accuracy.
  arXiv  Detail & Related papers  (2022-07-14T07:15:06Z)
• Decision Forest Based EMG Signal Classification with Low Volume Dataset Augmented with Random Variance Gaussian Noise [51.76329821186873]
  We produce a model that can classify six different hand gestures with a limited number of samples that generalizes well to a wider audience. We appeal to a set of more elementary methods such as the use of random bounds on a signal, but desire to show the power these methods can carry in an online setting.
  arXiv  Detail & Related papers  (2022-06-29T23:22:18Z)
• Self-Supervised Training with Autoencoders for Visual Anomaly Detection [61.62861063776813]
  We focus on a specific use case in anomaly detection where the distribution of normal samples is supported by a lower-dimensional manifold. We adapt a self-supervised learning regime that exploits discriminative information during training but focuses on the submanifold of normal examples. We achieve a new state-of-the-art result on the MVTec AD dataset -- a challenging benchmark for visual anomaly detection in the manufacturing domain.
  arXiv  Detail & Related papers  (2022-06-23T14:16:30Z)

This list is automatically generated from the titles and abstracts of the papers in this site.

This site does not guarantee the quality of this site (including all information) and is not responsible for any consequences.