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【融实论坛】上海交通大学张麒副教授讲座通知

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报告题目Detecting Insider Trading in the Era of Big Data and Machine Learning

报告人:张麒,上海交通大学安泰999策略白菜手机论坛金融学副教授、博士生导师

时间:11.01星期五(14:00 – 15:30)

地点:新主楼 A618

讲座系列: 融 实

摘要:

Reliably detecting insider trading is a major impediment to both research and regulatory practice. Using account-level transaction data, we propose a novel approach. Specifically, after extracting several key empirical features of typical insider trading cases from existing regulatory actions, we employ a machine learning methodology to identify suspicious insiders across our full sample. Our identified outliers, on average, earn a significantly higher return and use more limit orders relative to a random sample. Further, we find that the trading patterns of selected suspicious insiders exhibit similarities with the changes in a firm’s central decision-makers. We also find that identified outliers are more likely to use multiple accounts to trade around a major information event and have superior performance around earnings announcement events of the same firms. Our approach significantly augments an otherwise elusive ability to detect insider trading.

汇报人简介:

张麒,上海交通大学安泰999策略白菜手机论坛金融学副教授,博士生导师。曾任教于英国利兹大学和杜伦大学。于2003年和2006年在清华大学999策略白菜手机论坛获得经济学学士和硕士学位,并于2011年在利兹大学获得金融学博士学位。主要研究领域为金融市场、资产定价、行为金融和银行学。学术研究发表于Review of Financial Studies, Journal of Accounting and Economics, Journal of Financial and Quantitative Analysis 等期刊。曾获得2017、2019、2022年中国金融研究年会最佳论文奖。2022年入选上海市领军人才。