Velocity- and Regime-Aware Detection of Intraday Options Market Manipulation, with Explainable Attribution
Intraday market manipulation is hard to detect because its footprint is brief, buried in millions of quotes, and statistically similar to ordinary volatility. Detectors reach high recall only by flagging so many other days that measured precision collapses, producing alerts no regulator can act on. We show that this manipulation leaves a distinctive dynamic signature: a pump-and-crash pattern visible in the velocity of market state, rather than its level. We build a minute-level detection pipeline, strictly partitioned in time, based on smoothed state velocity: option-Delta velocity for index options and price velocity for equities. We explain every alert with SHAP attribution. We hold th...
| Authors | Alex Chen, Maria Hybinette |
|---|---|
| Primary category | q-fin.TR |
| Published | 5 August 2026 |
| Last updated at source | 5 August 2026 |
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