Generative Dynamic Graph Representation Learning for Conspiracy Spoofing Detection

Abstract: Spoofing detection in financial trading is crucial, especially for identifying complex behaviors such as conspiracy spoofing. Traditional machine-learning approaches primarily focus on isolated node features, often overlooking the broader context of interconnected nodes. Graph-based techniques, particularly Graph Neural Networks (GNNs), have advanced the field by leveraging relational information effectively. However, in real-world spoofing detection datasets, trading behaviors exhibit dynamic, irregular patterns. Existing spoofing detection methods, though effective in some scenarios, struggle to capture the complexity of dynamic and diverse, evolving inter-node relationships. To address these challenges, we propose a novel framework called the Generative Dynamic Graph Model (GDGM), which models dynamic trading behaviors and the relationships among nodes to learn representations for conspiracy spoofing detection. Specifically, our approach incorporates the generative dynamic latent space to capture the temporal patterns and evolving market conditions. Raw trading data is first converted into time-stamped sequences. Then we model trading behaviors using the neural ordinary differential equations and gated recurrent units, to generate the representation incorporating temporal dynamics of spoofing patterns. Furthermore, pseudo-label generation and heterogeneous aggregation techniques are employed to gather relevant information and enhance the detection performance for conspiratorial spoofing behaviors. Experiments conducted on spoofing detection datasets demonstrate that our approach outperforms state-of-the-art models in detection accuracy. Additionally, our spoofing detection system has been successfully deployed in one of the largest global trading markets, further validating the practical applicability and performance of the proposed method.