  Order matching systems form the backbone of modern equity exchanges, used by
millions of investors daily. Thus, their operation is strictly controlled
through numerous regulatory directives to ensure that markets are fair and
transparent. Despite these efforts, market manipulation remains an open
problem.
  In this work, we focus on a class of market manipulation techniques that
exploit technical details and glitches in the operation of the exchanges (i.e.,
mechanical arbitrage). Such techniques are used by predatory traders with deep
knowledge of the exchange's structure to gain an advantage over the other
market participants. We argue that technical solutions to the problem of
mechanical arbitrage have the potential to significantly thwart these
practices. Our work provides the first overview of the threat landscape, models
fair markets and their security assumptions, and discusses various mitigation
measures.
