The country's acting police commissioner David Manning said a district court had issued the warrant on Friday for the former leader, who was forced out of office in May after eight years in power.
Manning added that O'Neill had been found at Port Moresby's luxurious Crowne Plaza Hotel but had so far refused to go to the police station.
Manning said he could not "reveal any specific details" about the charges "due to the sensitivity of the investigations".
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O'Neill's long tenure was marked by a string of corruption allegations, including the purchase of 40 Maseratis for an Asia-Pacific leaders summit he hosted - in a country where few homes have reliable electricity.
He was forced to step down after allies baulked at his decision to sign a multibillion-dollar liquefied natural gas deal with France's Total and US firm ExxonMobil.
Local communities had complained bitterly about not benefiting from similar deals in the past.
After promising to resign and then trying to cling to power via the courts, he was ultimately replaced by his former finance minister James Marape, who vowed to clean up the government.
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