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首页> 外文期刊>The journal of risk finance >Best execution compliance automation: towards an equities compliance workstation
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Best execution compliance automation: towards an equities compliance workstation

机译：最佳执行合规性自动化：迈向股票合规工作站

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Purpose - Forthcoming requirements in MiFID and RegNMS mean that buy-side and sell-side firms need to find ways of showing regulators that they are sifting through their trading volumes in a justifiable, methodical manner looking for anomalous trades and investigating them, in order to prove "best execution". The objective was to see if a SVM/DAPR approach could help identify equity trade anomalies for compliance investigation. Design/methodology/approach - A major stock exchange, a computer systems supplier, four brokers and a statistical firm undertook a cooperative research project to determine whether automated statistical processing of trade and order information could provide a tighter focus on the most likely trades for best execution compliance investigation. Findings - The support vector machine approach worked on UK equities and has significant potential for other markets such as foreign exchange, fixed income and commodities. Research limitations/implications - The research has implications for risk professionals as a generic approach to trading anomaly detection. The prototype compliance workstation can be trialed. Originality/value - Automated anomaly detection could transform the role of compliance and risk in financial institutions.
机译：目的 - MIFID和REGNM的即将到来的要求意味着，购买方和卖方公司需要找到一种方式，以表明监管机构以合理的，有条不紊的方式筛选其交易量证明“最佳执行”。目的是查看SVM/DAPR方法是否可以帮助确定股权贸易异常进行合规调查。设计/方法/方法 - 主要证券交易所，计算机系统供应商，四个经纪人和一家统计公司进行了合作研究项目，以确定贸易和订单信息的自动统计处理是否可以更严格地关注最可能的交易，以达到最佳交易。执行合规调查。调查结果 - 支持向量机的方法在英国股票上工作，并在其他市场（例如外汇，固定收益和商品）中具有巨大潜力。研究局限性/含义 - 该研究对风险专业人员的影响是一种通用交易异常检测的方法。可以试用原型合规工作站。独创性/价值 - 自动异常检测可以改变合规性和风险在金融机构中的作用。

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