InsidersTradesSigma
Quantitative Signals & Scoring
A scoring methodology that penalizes or reranks signals based on the time delay between signal detection and market-actionable information availability, correcting for execution and information dissemination lag.
In insider-trading surveillance and quant platforms, signal latency directly impacts alpha decay and trading feasibility. Latency-adjusted ranking discounts signals proportionally to the time elapsed between when material information becomes detectable (via transaction reporting, form filings, or behavioral anomalies) and when institutional or retail traders can act on it. This adjustment recognizes that information advantage erodes rapidly and that delayed signals carry lower conviction and profit potential, particularly in efficient or crowded trading strategies.
Latency adjustment is especially critical for form-4 insider trades and rule 10b5-1 plan detections, where regulatory filing delays (typically 2 business days) create information asymmetry windows. A signal detected 48 hours after the transaction date ranks materially lower than one detected on the same day, because market participants have had time to absorb and reprice the information. Quantitatively, latency-adjusted scores often apply exponential decay functions or half-life metrics to progressively reduce signal weight as observation lag increases.