Spoofing is a deceptive trading strategy where fraudsters place a large number of fake orders to manipulate market prices, severely distorting market fairness and threatening market stability.With the advancement of fraudulent tactics, spoofing patterns span across various levels of interaction, involving not only the local structure of individual spoofing transactions but also spoofing groups and global patterns.Relying solely on local context makes it challenging to capture multi-granularity risk signals, especially for organized and covert spoofing.Additionally, existing methods fail to consider the differences and relative importance between features of varying granularity, leading to feature distortion and noise.Therefore, we propose a multi-granularity augmented graph learning method that differentially captures fraud signals at local, group, and global levels.It utilizes multi-hop differential aggregation and communityaugmented strategy to capture information from local to global perspectives, adaptively distinguishing the contributions of different granularity.To avoid excessive fusion of multi-granularity information, we combine contrastive loss and cross-entropy loss for joint optimization, preserving key features while enhancing the method's robustness and accuracy.Extensive experiments on real-world datasets demonstrate the effectiveness of our proposed approach in spoofing detection, providing a robust solution for regulatory agencies.Our work will help financial institutions enhance their regulatory capabilities, protect investors' interests, and promote the healthy development of financial markets.

Fraud detection, a classical data mining problem in finance applications, has risen in significance amid the intensifying confrontation between fraudsters and anti-fraud forces. Recently, an increasing number of criminals are constantly expanding the scope of fraud activities to covet the property of innocent victims. However, most existing approaches require abundant historical records to mine fraud patterns from financial transaction behaviors, thereby leading to significant challenges to protect minority groups, who are less involved in the modern financial market but also under the threat of fraudsters nowadays. Therefore, in this paper, we propose a novel community-enhanced multi-relation graph neural network-based model, named CMR-GNN, to address the important defects of existing fraud detection models in the tail effect situation. In particular, we first construct multiple types of relation graphs from historical transactions and then devise a clustering-based neural network module to capture diverse patterns from transaction communities. To mitigate information lacking tailed nodes, we proposed tailed-groups learning modules to aggregate features from similarly clustered subgraphs by graph convolution networks. Extensive experiments on both the real-world and public datasets demonstrate that our method not only surpasses the state-of-the-art baselines but also could effectively harness information within transaction communities while mitigating the impact of tail effects.

High-frequency algorithmic trading has consistently attracted attention in both academic and industrial fields, which is formally modeled as a near real-time sequential decision problem. DRL methods are treated as a promising direction compared with the traditional approaches, as they have shown great potential in chasing maximum accumulative return. However, the financial data gathered from volatile market change rapidly, which makes it dramatically difficult to grasp crucial factors for effective decision-making. Existing works mainly focus on capturing temporal relations while ignoring deriving essential factors across features. Therefore, we propose a DRL-based cross-contextual sequential optimization (CCSO) method for algorithmic trading. In particular, we employ a convolution module in the first stage to derive latent factors via inter-sequence aggregation and apply a well-designed self-attention module in the second stage to capture market dynamics by aggregating temporal intra-sequence details. With the two-stage extractor as encoder and a RNN-based decision-maker as decoder, an Encoder-Decoder module is established as the policy network to conduct potent feature analysis and suggest action plans. Then, we design a dynamic programming based learning method to address the challenge of complex network updates in reinforcement learning, leading to considerable enhancement in learning stability and efficiency. To the best of our knowledge, this is the first work that solves the sequential optimization problem by joint representation of trading data across time and features in the DRL framework. Extensive experiments demonstrate the superior performance of our method compared to other state-of-the-art algorithmic trading approaches in various widely-used metrics.

Portfolio optimization is a significant concern in finance. Existing research on portfolio optimization fails to adequately learn from the long and short-term relationships among equities, which inevitably leads to suboptimal performance. In this paper, we propose a Dynamic Graph-based Deep Reinforcement Learning (DGDRL) for optimal portfolio decisions. We achieve this goal by devising two mechanisms for naturally modeling the financial market. Firstly, we utilize the static and dynamic graphs to represent the long and short-term relations, which are then naturally represented by the proposed multi-channel graph attention neural network. Secondly, compared with the traditional two-phase approach, forecasting equity's trend and then weighting them by combinatorial optimization, we naturally optimize the portfolio decisions, which could directly guide the model to converge to optimal rewards. Through extensive experiments on three real-world datasets, we have demonstrated that our method significantly outperforms state-of-the-art benchmark methods in portfolio management. Furthermore, the evaluation of the industrial trading system has shown the applicability of our model to real-world financial markets.

Graphs have been widely used to represent the relationships of entities in real-world applications [1], [2]. k-truss model is a typical cohesive subgraph model and has received considerable attention due to its unique cohesive properties on degree and bounded diameter [3], [4].

With the great amount of available data, especially collected from the ubiquitous Internet of Things (IoT), the issue of privacy leakage has been an increasing concern recently. To preserve the privacy of IoT datasets, traditional methods usually calibrate random noises on the data values to achieve differential privacy (DP) [1]. However, the amount of calibrating noises should be carefully designed and a heedless value will definitely degrade the availability of datasets.

High-frequency trading is an extraordinarily intricate financial task, which is normally treated as a near real-time sequential decision problem. Compared with the traditional two-phase approach, forecasting equity's trend and then weighting them by combinatorial optimization, deep reinforcement learning (DRL) methods have shown advances in reward chasing with optimal policies. However, existing DRL-based methods either leverage portfolio optimization on low-frequency scenarios or only support a very limited number of assets with discrete action space, facing significant computing efficiency challenges. Therefore, we propose an efficient DRL-based policy optimization (DRPO) method for high-frequency trading. In particular, we model the portfolio management task with Markov Decision Process by directly inferring the equity weights in the action space guided by maximum accumulated returns. To reduce agents' interaction complexity without reducing interpretation, we detach the environment into the "static'' market states and "dynamic'' portfolio weight states. Then, we design an efficient reward expectation calculation algorithm via probabilistic dynamic programming, which enables our agents directly collect feedback away from trajectory sampling-based morass. To the best of our knowledge, this is the first work that solves the high-frequency portfolio optimization problem by devising an efficient continuous space policy optimization algorithm in the DRL framework. Through extensive experiments on the real-world data from Dow Jones, Coinbase and SSE exchanges, we show that our proposed DRPO significantly outperforms state-of-the-art benchmark methods. The results demonstrate the practical applicability and effectiveness of the proposed method.

$k$-truss model is a typical cohesive subgraph model and has been received considerable attention recently. However, the$k$-truss model only considers the direct common neighbors of an edge, which restricts its ability to reveal fine-grained structure information of the graph. Motivated by this, in this paper, we propose a new model named$(k, \tau)$-truss that considers the higher-order neighborhood ($\tau$hop) information of an edge. Based on the$(k, \tau)$-truss model, we study the higher-order truss decomposition problem which computes the$(k, \tau)$-trusses for all possible$k$values regarding a given$\tau$. Higher-order truss decomposition can be used in the applications such as community detection and search, hierarchical structure analysis, and graph visualization. To address this problem, we first propose a bottom-up decomposition paradigm in the increasing order of$k$values to compute the corresponding$(k, \tau)$-truss. Based on the bottom-up decomposition paradigm, we further devise three optimization strategies to reduce the unnecessary computation. We evaluate our proposed algorithms on real datasets and synthetic datasets, the experimental results demonstrate the efficiency, effectiveness and scalability of our proposed algorithms.

With the great amount of available data, especially collecting from the ubiquitous Internet of Things (IoT), the issue of privacy leakage arises increasingly concerns recently. To preserve the privacy of IoT datasets, traditional methods usually calibrate random noises on the data values to achieve differential privacy (DP). However, the amount of the calibrating noises should be carefully designed and a heedless value will definitely degrade the availability of datasets. Thus, in this work, we propose a stochastic perturbation method to sanitize the dataset, where the perturbation is obtained from the rest samples in the same dataset. In addition, we derive the expression of the utility level based on its unique framework and prove that the proposed algorithm can achieve the$\epsilon$-DP. To show the effectiveness of the proposed algorithm, we conduct extensive experiments on real-life datasets by various functions, such as query answers and machine learning tasks. By comparing with the state-of-the-art methods, our proposed algorithm can achieve a better performance under the same privacy level.

Listing all k-cliques is a fundamental problem in graph mining, with applications in finance, biology, and social network analysis. However, owing to the exponential growth of the search space as$k$increases, listing all k-cliques is algorithmically challenging. DDegree and DDegCol are the state-of-the-art algorithms that exploit ordering heuristics based on degree ordering and color ordering, respectively. Both DDegree and DDegCol induce high time and space overhead for set intersections cause they construct and maintain all induced subgraphs. Meanwhile, it is non-trivial to implement the data level parallelism to further accelerate on DDegree and DDegCol. In this paper, we propose two efficient algorithms SDegree and BitCol for k-clique listing. We mainly focus on accelerating the set intersections for k-clique listing. Both SDegree and BitCol exploit the data level parallelism for further acceleration with single instruction multiple data (SIMD) or vector instruction sets. Furthermore, we propose two preprocessing techniques Pre-Core and Pre-List, which run in linear time. The preprocessing techniques significantly reduce the size of the original graph and prevent exploring a large number of invalid nodes. In the theoretical analysis, our algorithms have a comparable time complexity and a slightly lower space complexity than the state-of-the-art algorithms. The comprehensive experiments reveal that our algorithms outperform the state-of-the-art algorithms by 3.75x for degree ordering and 5.67x for color ordering on average.