Market Mechanics
From filing to price impact: microstructure, currency-normalised comparisons, walk-forward design.
Understanding Multiple-Testing Inflation in Quant Research
This article explores the implications of multiple-testing inflation in quant research, particularly in insider trading signal development, and how to report findings accurately.
Why Insider Trade Size Can Mislead Scoring Models
Large insider trades can distort scoring models, often driven by factors unrelated to fresh information. A cap on trades helps maintain accuracy.
Do Insider Trades Influence Sector ETF Rebalances?
Explore the relationship between insider trading and sector ETF rebalances, particularly in technology and energy sectors. Understand the nuances and implications.
Understanding the Impact of Insider Disclosures on Stock Prices
Insider transaction disclosures can significantly influence stock prices. This article analyzes the abnormal returns from publication day to 30 days post-filing.
Understanding Currency Normalization in Insider Transactions
Currency normalization is essential for accurate comparisons in insider transactions. This article explains why using EUR as a base currency is crucial.