mlsanityData to 14 Oct 2026

A Deep Learning Approach to Anomaly Detection in High-Frequency Trading Data

arXiv 2504.00287 ↗First posted 31 Mar 2025cs.LGcited by 3

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Abstract (arXiv)

This paper proposes an algorithm based on a staged sliding window Transformer architecture to detect abnormal behaviors in the microstructure of the foreign exchange market, focusing on high-frequency EUR/USD trading data. The method captures multi-scale temporal features through a staged sliding window, extracts global and local dependencies by combining the self-attention mechanism and weighted attention mechanism of the Transformer, and uses a classifier to identify abnormal events. Experimental results on a real high-frequency dataset containing order book depth, spread, and trading volume show that the proposed method significantly outperforms traditional machine learning (such as decision trees and random forests) and deep learning methods (such as MLP, CNN, RNN, LSTM) in terms of accuracy (0.93), F1-Score (0.91), and AUC-ROC (0.95). Ablation experiments verify the contribution of each component, and the visualization of order book depth and anomaly detection further reveals the effectiveness of the model under complex market dynamics. Despite the false positive problem, the model still provides important support for market supervision. In the future, noise processing can be optimized and extended to other markets to improve generalization and real-time performance.

Key facts. Cited by 3 papers in the map (data through 14 Oct 2026). Builds on 8 of its 20 references that are in the map. First posted on arXiv 31 Mar 2025.

Builds on

8 of 20 references.

References · 8

  1. 2024Transforming Multidimensional Time Series into Interpretable Event Sequences for Advanced Data Miningcited by 47
  2. 2024Self-Supervised Graph Neural Networks for Enhanced Feature Extraction in Heterogeneous Information Networkscited by 33
  3. 2021Anomaly Detection in Blockchain Networks: A Comprehensive Surveycited by 16
  4. 2024Leveraging Convolutional Neural Network-Transformer Synergy for Predictive Modeling in Risk-Based Applicationscited by 9
  5. 2025A Deep Learning Framework Integrating CNN and BiLSTM for Financial Systemic Risk Analysis and Predictioncited by 9
  6. 2025A Structured Reasoning Framework for Unbalanced Data Classification Using Probabilistic Modelscited by 7
  7. 2024Integrative Analysis of Financial Market Sentiment Using CNN and GRU for Risk Prediction and Alert Systemscited by 4
  8. 2020Machine learning based forecasting of significant daily returns in foreign exchange marketscited by 1

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Citing papers per year: 2025: 3.

3 papers.