Solving Modern Crime in Financial Markets

Dr. Marius-Cristian Frunza's consulting work with investment banks and asset managers allowed him to specialize in risk management, derivative pricing and hedging. His research activity encompasses topics around environmental finance like forestry, energy, and weather derivatives. He graduated from the Ecole Polytechnique in Paris and holds a PhD in mathematics from the Sorbonne university. He is also a partner in Schwarztal Kapital, an independent advisory and investment firm in environmental finance.

""Frunza does an excellent job of presenting theoretical, applied and case study discussions. Detailed and technical concepts are explained in a clear manner. The book is very timely especially with respect to the sports betting market and cryptocurrencies and FX manipulation." --Bonnie Buchanan, Albers School of Business, Seattle University"This text tackles head on how crimes committed within financial markets have a reputation for being complex and sophisticated and where ‘crime scenes’ are widely regarded as helping to conceal these already secretive activities. In focusing ‘only’ on financial crimes committed in financial markets the author has given himself a monumental task. The inherent ambition of this task is also readily apparent from his willingness to address the challenges of understanding financial crimes through the technicalities behind their commission. This makes this potentially a contribution of high importance. Many will agree with the author’s premise on the essence of innovation in paradigms of surveillance and discovery and then response, and this text recognises the practical technical challenges entailed in understanding how these activities are actually committed. This text provides an important link for making value judgements on propriety, and thus qualitative and normative judgements on whether they are properly regarded as crimes and enforced as such, a pre-requisite for which is understanding how they are actually committed and where they can be found. Focusing on the technicalities of financial crimes in such a comprehensive way makes this text distinctive. In doing so it not only provides an extremely helpful guide for those who are concerned about financial crime, and concerned to ensure they understand it, but actually in doing so it highlights the sheer enormity of this task." --Sarah Wilson, York Law School, University of York

• 1. Modern Financial Crime Innovation and CrimeHigh Frequency TradingCommodities MarketsSocial Networks and Financial CrimeCryptocurrencies: a New Monetary VehicleAssessment of the Link between the Betting Industry and Financial Crime2. Forensic Statistics as an Investigation Tool (Theoretical Background) Truth: a Game of ProbabilitiesStatistical DistributionsForecasting DistributionsGenetic AlgorithmsStatistical Hypothesis TestsNon-parametric TechniquesFuzzy MethodsClustering TechniquesSupport Vector MachineAssessing the Accuracy of a Fraud Detection ModeBenford's Law3. Investigation of Crime in Financial Markets (Empirical Studies with Applications in R) Structural Changes in Time SeriesExploring Unstructured DataReading the Balance Sheet of Financial FirmsFraud on the Market TheoryEfficient Market Hypothesis TestingMarket Prices and Trading ActivityOrder Book analysisEvent Study4. Case Studies (Applications in R) LIBOR ManipulationEURIBOR ManipulationThe Madoff CaseEnron - WorldcomRating Agencies and CrisesThe FX Fixing FixThe Case of Greenhouse Gas Emissions Allowances Market5. Preventing Crime and Preserving Markets’ Integrity Stronger Financial Regulation Pros and Cons?Efficient Frameworks for Financial Crime SurveillanceJoint Structures for Tackling Financial Offense: Criminal Investigators and Market Regulators