DYNAMIC MODELING FORECASTS OF EQUITY PRICE MOVEMENTS IN CASES OF INSIDER TRADING

William Mallios

Journal of Prediction Markets, 2012, vol. 6, issue 1, 1-30

Abstract: Case studies examine the extent to which insider trades in financial markets are a reflection of publicly-based forecasts based on (1) candlestick charts and (2) adaptive drift modeling (ADM) of cointegrated time processes depicted in such charts. ADM accommodates both gradual Darwinian-type market drift and punctuated Gould-Eldridge-type drift associated with market volatility. Covariates in ADM may include mosaic variables, currently a main line of defense for those accused of insider trading. Empirical studies suggest varying degrees of uncertainty in distinguishing between legitimate and illegitimate trading in terms of resulting price movements.

Keywords: insider trading: evidence and counter evidence; bullish/bearish graphical patterns; dynamic modeling forecasts; time varying cointegrated processes (search for similar items in EconPapers)
JEL-codes: L83 (search for similar items in EconPapers)
Date: 2012
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