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Smells like a bear raid

Trading data suggest 2007 effort to manipulate market

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10:27am, December 19, 2011

Two extraordinarily large trading days for Citigroup shares in the fall of 2007 hint that someone may have been manipulating the stock, say analysts who mine financial data using powerful computers and mathematical algorithms.

Researchers from the New England Complex Systems Institute in Cambridge, Mass., were examining stock trading data for the period January 2007 to January 2009 when they noticed two unusually large spikes in volume and other measures related to Citigroup shares. On November 1, 2007, the team noted, the number of borrowed Citigroup shares jumped by 100 million, reaching a value of almost $6 billion. Six days later, a similar number of borrowed shares were returned on a single day, the team reports online December 14 at arXiv.org. The estimated gain for the investors who made the transactions was at least $640 million.

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