IDEAS home Printed from https://ideas.repec.org/a/inm/orinte/v20y1990i5p31-42.html
   My bibliography  Save this article

Improving and Measuring the Performance of a Securities Industry Surveillance System

Author

Listed:
  • Samuel G. Davis

    (College of Business Administration, Penn State University, University Park, Pennsylvania 16802)

  • J. Keith Ord

    (College of Business Administration, Penn State University, University Park, Pennsylvania 16802)

Abstract

Recent disclosures of illegal trading practices in the securities industry have prompted the development of improved computer detection models. We designed for the NASD a surveillance system that employs statistical analysis to uncover unusual patterns of activity to better identify exceptions that should prompt investigation. Inferences concerning the likelihood that trading violations have occurred are made by examining deviations from historical trading patterns on a security-specific basis. Expectations are adjusted to reflect general market movement influences and to recognize the relationship between the timing of changes in security trading patterns and the dissemination of news related to the specific security. The initial design employs a set of indicators that were found to best identify exception conditions during preliminary testing. In addition, the system will accept suggested candidate indicators.

Suggested Citation

  • Samuel G. Davis & J. Keith Ord, 1990. "Improving and Measuring the Performance of a Securities Industry Surveillance System," Interfaces, INFORMS, vol. 20(5), pages 31-42, October.
    • Handle: RePEc:inm:orinte:v:20:y:1990:i:5:p:31-42
    DOI: 10.1287/inte.20.5.31
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/inte.20.5.31
    Download Restriction: no
    File URL: https://libkey.io/10.1287/inte.20.5.31?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Peter Goldschmidt, 2007. "Managing the false alarms: A framework for assurance and verification of surveillance monitoring," Information Systems Frontiers, Springer, vol. 9(5), pages 541-556, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:orinte:v:20:y:1990:i:5:p:31-42. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.