Solving Modern Crime in Financial Markets

Dr. Marius-Cristian Frunza's consulting work with investment banks and asset managers allowed him to specialize in risk management, derivative pricing and hedging. His research activity encompasses topics around environmental finance like forestry, energy, and weather derivatives. He graduated from the Ecole Polytechnique in Paris and holds a PhD in mathematics from the Sorbonne university. He is also a partner in Schwarztal Kapital, an independent advisory and investment firm in environmental finance.

1. Modern Financial Crime



Innovation and Crime
High Frequency Trading
Commodities Markets
Social Networks and Financial Crime
Cryptocurrencies: a New Monetary Vehicle
Assessment of the Link between the Betting Industry and Financial Crime

2. Forensic Statistics as an Investigation Tool (Theoretical Background)



Truth: a Game of Probabilities
Statistical Distributions
Forecasting Distributions
Genetic Algorithms
Statistical Hypothesis Tests
Non-parametric Techniques
Fuzzy Methods
Clustering Techniques
Support Vector Machine
Assessing the Accuracy of a Fraud Detection Mode
Benford's Law

3. Investigation of Crime in Financial Markets (Empirical Studies with Applications in R)



Structural Changes in Time Series
Exploring Unstructured Data
Reading the Balance Sheet of Financial Firms
Fraud on the Market Theory
Efficient Market Hypothesis Testing
Market Prices and Trading Activity
Order Book analysis
Event Study

4. Case Studies (Applications in R)



LIBOR Manipulation
EURIBOR Manipulation
The Madoff Case
Enron - Worldcom
Rating Agencies and Crises
The FX Fixing Fix
The Case of Greenhouse Gas Emissions Allowances Market

5. Preventing Crime and Preserving Markets’ Integrity



Stronger Financial Regulation Pros and Cons?
Efficient Frameworks for Financial Crime Surveillance
Joint Structures for Tackling Financial Offense: Criminal Investigators and Market Regulators