Stats › Intraday et microstructure de marché › Spoofing, measured
The median stock day carries 25 attempted spoofs and zero successful ones
| Mesure | Median | Mean | Note |
|---|---|---|---|
| Attempted spoofs per stock day | 25 | 1,071.39 | The gap between the two is the whole distribution |
| Successful spoofs per stock day | 0 | Not reported | Most attempts do not work |
| Attempted spoofs per 30 minutes | 1 | 66.39 | Same shape at higher frequency |
| Share of stock day volume | 0.64% | 6.47% | Mean pulled by a small number of stock days |
| Traders placing at least one attempt | 6% of traders | 4% place a successful one | Concentrated |
137 Toronto Stock Exchange stocks, 3 May 2010 to 19 July 2011, from the Canadian regulator's order and trade records with ten millisecond timestamps and unmasked trader identifiers. Spoofing is identified algorithmically rather than by prosecution. This is a working paper, not yet a peer reviewed article in the version opened.
Using a regulator's audit trail with unmasked trader identities across 137 Toronto stocks, attempted spoofing orders run to a median of 25 per stock day and a mean of 1,071. The median number that actually works is zero.
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