Improving the Performance of Market Surveillance

증권시장에서의 효과적인 주가감시모형

  • 안철환 (세종대학교 응용수학과)
  • Published : 2000.03.01

Abstract

Since Black Monday there has been a rash of systems developments which aimed at automating and upgrading the surveillance mechanism of monitoring the many facets of security trading. A more sophisticated mathematical model for detecting abnormal trading activities was created by Davis and Ord of Penn State along with Nobel prize laureates Solow and Modigliani of MIT. They used CAPM(Capital Asset Pricing Model) to explain the movements of stock price and applied an idea of residuals to detect unusual movements. In this paper, their idea is discussed and a new method is proposed, which involves a confidence interval of future observation in linear regression. One of the examples of the stock watch system adopting this statistical method is also presented.

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