J.P. Morgan released a system for detecting suspected instances of market abuse across all asset classes and instruments, called MAST (Market Abuse Surveillance Tool). Using a combination of statistical analysis and behavioral metrics to locate suspicious behaviour, MAST reduces the number of false positives relative to traditional rules-based systems.
MAST identifies trader outperformance by estimating the average behaviour of a fair trader in a given context, and using this to highlight behaviors beyond the market’s expected average.
In addition, the bank released Transaction Efficiency and Accuracy Monitor (TEAM), which are trading analytics powered by machine learning algorithms and Peer to Peer data. TEAM creates a probability distribution for the mid-price of any asset at any time in the past. The tool then compares the executed trades to this distribution, permitting the user to measure the performance of their broker against the market – even for relatively liquid assets.