Developing an Effective Model for Detecting Trade-Based Market Manipulation by Jose Joy Thoppan

Author:Jose Joy Thoppan
Language: eng
Format: epub, pdf
ISBN: 9781801173988
Publisher: Emerald Publishing Limited
Published: 2019-09-25T00:00:00+00:00

4.4.1 Test for Multivariate Normality

We use a Q-Q Plot to check if the trade data attributed for identified securities gathered from the Indian securities markets are normally distributed or not. The Q-Q Plot is a standardized distance method to determine if the data is multivariate normal.

The equation for the method is as below:

Based on the works of Gnanadesikan and Kettenring (1972), we can say that, if the data is multivariate normal, then u i , which is a function of D 2 , will have a beta distribution.

The u i values are computed using the formula:

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