The purpose of this paper is to analyze a data set from a brokerage firm to find possible spoofing cases in ten stocks from the Ibovespa index. The studies proposed concerned the parameters used in the search for the practice, the frequency of occurrences during the negotiation period, the impact on the price caused by the size of the spoofing order and the correlation between the stock's liquidity and the number of occurrences.,By using intraday orders flows, the authors are able to reassemble the order book and perform an analysis of potential market manipulation.,The authors found six possible cases, all of them happened in the beginning or end of the negotiation period, confirming that there is a window of opportunity for the practice when there is greater uncertainty related to the stock's price. Moreover, they found that in the less liquid stocks, it was necessary to place greater spoofing orders aiming to narrow the wider spread.,A methodology for spoofing detection that can be replicated by brokerage firms and other researchers was developed.,The study contributes to the literature of capital market regulation by suggesting best practices for regulators and self-regulatory entities to avoid a predatory market practice.,The authors present an algorithm and parameters for detecting spoofing; other papers are not practical orientated.

中文翻译：

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对巴西资本市场中欺骗行为的检测和分析

本文的目的是分析一家经纪公司的数据集，以从Ibovespa指数中找出10只股票中可能存在的欺骗案例。拟议的研究涉及寻找实践的参数，谈判期间出现的频率，欺骗订单的大小对价格造成的影响以及股票的流动性与出现次数之间的相关性。通过使用当日的订单流，作者能够重新整理订单簿并进行潜在的市场操纵分析。作者发现了六种可能的情况，所有这些情况都发生在谈判期的开始或结束，从而确认了当与股票价格有关的不确定性更大时，这种做法的机会之窗。而且，他们发现，在流动性较低的股票中，有必要下达更大的欺骗订单，以缩小传播范围。开发了一种可以由经纪公司和其他研究人员复制的欺骗检测方法。通过为监管机构和自我监管实体建议最佳实践，避免掠夺性市场实践，对资本市场监管进行研究。作者提出了一种检测欺骗的算法和参数；其他论文不切实际。通过为监管者和自我监管实体建议最佳实践，避免掠夺性市场实践，该研究为资本市场监管的文献做出了贡献。作者提出了一种检测欺骗的算法和参数。其他论文不切实际。通过为监管者和自我监管实体建议最佳实践，避免掠夺性市场实践，该研究为资本市场监管的文献做出了贡献。作者提出了一种检测欺骗的算法和参数。其他论文不切实际。