  We propose a mathematical procedure for finding informed traders in
ultra-high frequency trading. We wrote it as Vector ARMA and found condition of
its stationarity. For the price exposure complied with ARMA(1,2) we proved that
underlying asset price difference can be derived as ARMA(1,1) process. For
validation of the model, we test an influence of informed traders in EUR/USD,
GBP/USD, USD/RUB pairs and futures, in gold and futures prices, in Russian
Trade System share index (RTS) and futures trading. We found some evidence of
such influence in gold and currency pair USD/RUB pricing, in RTS index in the
period from Dec 16 till Dec 20, 2013 and from Jan 28 till Jan 30.
