Estimating The Stock Returns of Companies Exposed to Insider Trading with The K-Nearest Neighbor Algorithm: Example of USA Stock Markets

Öz

In this study, the returns of the companies traded in the US Stock Markets and exposed to insider trading were estimated after 3, 9, 15, 21 and 27 months of the date of insider trading by using 10121 transaction data for the period 01.01.2020 - 26.02.2022. The results were estimated with KNN (K Nearest Neighbor Algorithm), one of the supervised data mining methods. As a result of the analysis, 224 of 257 samples exposed to trade in the period of 01.01.2022 - 26.03.2022 were estimated in the correct return range and the 3-months stock return estimation success was found to be 87.16%. In the period of 01.07.2021 to 31.12.2021, 1936 of 2358 samples exposed to trading were estimated in the right return range, and the 9-month stock return estimation success was determined to be 82.10%. 2495 of 2919 samples exposed to trade in the period of 01.01.2021 - 30.06.2021 were estimated in the correct return range and the 15-months stock return estimation success was found to be 85.47%. In the period of 01.07.2020 to 31.12.2020, 1980 of 2267 samples exposed to trading were estimated in the correct return range, and the 21-months stock return estimation success was determined to be 87.34%. Lastly, 2016 of 2320 samples exposed to trade in the period of 01.01.2020 - 30.06.2020 was estimated in the correct return range and the 27-months return estimation success was found to be 86.90%.

Anahtar Kelimeler

• Insider Trading
• Stock Return Estimation
• K-Nearest Neighbor Algorithm
• USA Stock Markets

İçeriden Öğrenenlerin Ticaretine Maruz Kalan Şirketlere Ait Hisse Senedi Getirilerinin K-En Yakın Komşu Algoritması İle Tahmin Edilmesi: ABD Borsaları Örneği

Öz

Bu çalışmada ABD Borsalarında işlem gören ve içeriden öğrenenlerin ticaretine maruz kalan şirketlere ait 01.01.2020-26.02.2022 dönemindeki 10121 işlem verileri alınarak ilgili şirketlerin içeriden öğrenenlerin ticareti tarihinden 3, 9, 15, 21 ve 27 ay sonraki getirileri tahmin edilmiştir. Sonuçlar denetimli veri madenciliği yöntemlerinden KNN (K En Yakın Komşu Algoritması) ile tahmin edilmiştir. Analiz sonucunda 01.01.2022-26.03.2022 döneminde ticarete maruz kalan 257 örneğin 224’ü doğru getiri aralığında tahmin edilmiş ve 3 ay öncesi hisse senedi getiri tahmin başarımı %87,16 olarak bulunmuştur. 01.07.2021-31.12.2021 döneminde ticarete maruz kalan 2358 örneğin 1936’sı doğru getiri aralığında tahmin edilmiş ve 9 ay öncesi hisse senedi getiri tahmin başarımı %82,10 olarak bulunmuştur. 01.01.2021-30.06.2021 döneminde ticarete maruz kalan 2919 örneğin 2495’i doğru getiri aralığında tahmin edilmiş ve 15 ay öncesi hisse senedi getiri tahmin başarımı %85,47 olarak bulunmuştur. 01.07.2020-31.12.2020 döneminde ticarete maruz kalan 2267 örneğin 1980’i doğru getiri aralığında tahmin edilmiş ve 21 ay öncesi hisse senedi getiri tahmin başarımı %87,34 olarak bulunmuştur. 01.01.2020-30.06.2020 döneminde ticarete maruz kalan 2320 örneğin 2016’sı doğru getiri aralığında tahmin edilmiş ve 27 ay öncesi getiri tahmin başarımı %86,90 olarak bulunmuştur.

Anahtar Kelimeler

• İçeriden Öğrenenlerin Ticareti
• Hisse Senedi Getiri Tahmini
• K En yakın Komşu Algoritması
• ABD Borsaları

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