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中文摘要：
股票市场存在诸多弊端，如滥用客户信息，价格操纵等．股市监控是金融监管体系中不可缺少的一环，它对市场交易的诚信、公平和公开透明起到重要作用．现有检测交易异常行为的诸多方法中，很少分析股市即日数据并挖掘潜在的交易行为来检测异常．股市是一个复杂的非线性系统，一套可行高效的异常行为检测方法是股市异常行为监控的重要课题．提出一种基于市场微结构的异常交易行为检测方法，该方法能较有效地检测出股市存在的异常交易行为．最后，通过实例说明该方法的可行性和有效性．
英文摘要：
It is well known that many defects exist in current stock market, such as intorma- tion abuse and price manipulation. Anomaly detection is helpful to enhance the integrity, fairness and transparence of stock market so it becomes a key link in financial regulatory system. Unfortu- nately, existing approaches were low performing as they rarely focused on analyzing the intraday in- formation and mining potential trading behaviors. It proposed a method, which based on market mi- crostructure, to detect abnormal trading behaviors. An experiment was presented demonstrating the feasibility and effectiveness of this approach.
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