 Managing risk in stock market alertsRobert J. Richardson International Journal of Business Continuity and Risk Management, 2009, vol. 1, issue 1, 5-18 Abstract: The market surveillance function of a stock exchange is to provide a fair and orderly market by monitoring stock price movements. Alerts are generated when an activity appears suspicious. Management needs a methodology to balance the risk of failing to identify an illegal transaction while investigating false alerts that are costly and time-consuming to process. To assist management in making these decisions, quantitative methods are used to find aberrant behaviour. The first generation of online market surveillance models employed heuristic algorithms based on experience, while the second generation applied basic statistics. The author's research on the New York Stock Exchange focuses on the third-generation online identification of aberrant stock price movements that relies on advanced statistical techniques such as discriminant analysis combined with a robust outlier test. This method provides a suspicion index that more accurately rates the potential alerts to be investigated. Keywords: market surveillance; stock market alerts; outlier; discriminant analysis; risk management; suspicion index; stock exchange; stock price movements; New York Stock Exchange; online identification. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbcrm:v:1:y:2009:i:1:p:5-18 Access Statistics for this article More articles in International Journal of Business Continuity and Risk Management from Inderscience Enterprises Ltd |
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